Hi there,
I am trying to run the following code:
> dcOU<-function(x,t,x0,theta,log=FALSE){
+ Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
+ Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
+ dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
+ }
> OU.lik<-function(theta1,theta2,theta3){
+ n<-length(X)
+ dt<-deltat(X)
+ ~sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
+ }
>
> #ex3.01.R
> require(stats4)
Loading required package: stats4
> require(sde)
Loading required package: sde
Loading required package: MASS
Loading required package: fda
Loading required package: splines
Loading required package: zoo
To check the errata corrige of the book, type vignette("sde.errata")
Attaching package: 'sde'
The following object(s) are masked _by_ '.GlobalEnv':
dcOU
> set.seed(123)
> X<-sde.sim(model="OU",theta=c(3,1,2),N=1000,delta=1)
T set to = 1000.000000
> mle(OU.lik,start=list(theta1=1,theta2=0.5,theta3=1),
+ method="L-BFGS-B",lower=c(-Inf,0,0))->fit
Error in optim(start, f, method = method, hessian = TRUE, ...) :
'pairlist' object cannot be coerced to type 'double'
but there appears to be a problem with the optimisation process?
Unfortunately it's not clear to me from the error message what is going
wrong?
Can someone please advise.
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