1、为何lambda的计算结果为numeric(0),LogLike的计算结果也是0?
2、为何整体计算后估计的参数par仍然为0?
谢谢各路大神!
代码如下:
LogLike<-function(dat,par){
beta0<-par[1]
beta1<-par[2]
beta2<-par[3]
beta3<-par[4]
beta4<-par[5]
lambda<-exp(beta0+beta1*dat$risk_free+beta2*dat$index_return+beta3*dat$DTD+beta4*dat$stock_return)
LL<--sum(dpois(dat$indicator,lambda,log=TRUE))#泊松分布的概率密度函数,indicator是D
return(LL)
}#dat是因子,par是参数估计
beta0<-0
beta1<-0
beta2<-0
beta3<-0
beta4<-0
par<-c(beta0,beta1,beta2,beta3,beta4)
rm(beta0,beta1,beta2,beta3,beta4)
result.noF<-optim(par=par,fn=LogLike,dat=data,control=list(maxit=5000,reltol=1e-8),hessian=TRUE)
结果:
$par
[1] 0 0 0 0 0
$value
[1] 0
$counts
function gradient
6 NA
$convergence
[1] 0
$message
NULL
$hessian
[,1] [,2] [,3] [,4] [,5]
[1,] 0 0 0 0 0
[2,] 0 0 0 0 0
[3,] 0 0 0 0 0
[4,] 0 0 0 0 0
[5,] 0 0 0 0 0
数据:
DTD | stock_return | index_return | GDP | risk _free | indicator |
7.49766181 | 0.00863309 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-2.4262506 | 0.04123711 | -0.0360678 | 0.075 | 0.03475925 | 0 |
2.75728855 | -0.1008483 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-0.1177484 | -0.0236686 | -0.0360678 | 0.075 | 0.03475925 | 0 |
6.31851757 | -0.1222067 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-2.1148058 | -0.0672854 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-5.2408366 | -0.0039526 | -0.0360678 | 0.075 | 0.03475925 | 0 |
0.44037451 | 0.035533 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-18.380361 | -0.0151692 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-11.969514 | -0.007772 | -0.0360678 | 0.075 | 0.03475925 | 0 |
0.35555098 | -0.0314961 | -0.0360678 | 0.075 | 0.03475925 | 0 |
2.44259053 | -0.1003788 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-2.7384004 | -0.0586797 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-9.4459268 | -0.027027 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-2.325505 | 0.03663793 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-8.912209 | -0.0359281 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-8.7602153 | -0.0798817 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-5.3498665 | -0.1827515 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-10.244043 | 0.02649007 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-1.4323589 | 0.12276786 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-12.103814 | -0.0836364 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-2.3124399 | -0.1741176 | -0.0360678 | 0.075 | 0.03475925 | 0 |
0.31903903 | -0.1339564 | -0.0360678 | 0.075 | 0.03475925 | 0 |
-8.5103822 | -0.0280374 | -0.0360678 | 0.075 | 0.03475925 | 0 |