maxLik: maximum likelihood estimation and related tools

This package contains a set of functions and tools for Maximum Likelihood (ML) estimation. The focus of the package is on non-linear optimization from the ML viewpoint, and it provides several convenience wrappers and tools, like BHHH algorithm, variance-covariance matrix, standard errors, and summary methods.

Highlights:

• maxLik: the central function that performs the ML estimation. It can be called with loglik function and start values as simply as maxLik(loglik, start).
• a number of optimization methods with unified interface, most of which can be called from through maxLik.
• support for BHHH method
• tools to help debugging analytic gradient and Hessian
• a number of summary methods, including summary, stdDev and tidy for a quick summaries and standard deviations.

Details

maxLik package is a set of convenience tools and wrappers focusing on Maximum Likelihood (ML) analysis, but it also contains tools for other optimization tasks. The package includes a) wrappers for several existing optimizers (implemented by stats::optim; b) original optimizers, including Newton-Raphson and Stochastic Gradient Ascent; and c) several convenience tools to use these optimizers from the ML perspective. Examples are BHHH optimization (maxBHHH) and utilities that extract standard errors from the estimates. Other highlights include a unified interface for all included optimizers, tools to test user-provided analytic derivatives, and constrained optimization.

A good starting point to learn about the usage of maxLik are the included vignettes "Introduction: what is maximum likelihood", "Maximum likelihood estimation with maxLik" and "Stochastic Gradient Ascent in maxLik". Another good source is Henningsen & Toomet (2011), an introductory paper to the package. Use vignette(package="maxLik") to see the available vignettes, and vignette("using-maxlik") to read the usage vignette.

Quick intro

From the user's perspective, the central function in the package is maxLik. In its simplest form it takes two arguments: the log-likelihood function, and a vector of initial parameter values (see the example below). It returns an object of class maxLik with convenient methods such as summary, coef, stdEr. It also supports a plethora of other arguments, for instance one can supply analytic gradient and Hessian, select the desired optimizer, and control the optimization in different ways.

A useful utility functions in the package is compareDerivatives that allows one to compare the analytic and numeric derivatives for debugging purposes. Another useful function is condiNumber for analyzing multicollinearity problems in the estimated models.

In the interest of providing a unified user interface, all the optimizers are implemented as maximizers in this package. This includes the optim-based methods, such as maxBFGS and maxSGA, the maximizer version of popular Stochastic Gradient Descent.

Examples:

### estimate mean and variance of normal random vector

## create random numbers where mu=1, sd=2
set.seed(123)
x <- rnorm(50, 1, 2 )

## log likelihood function.
## Note: 'param' is a 2-vector c(mu, sd)
llf <- function(param) {
   mu <- param[1]
   sd <- param[2]
   llValue <- dnorm(x, mean=mu, sd=sd, log=TRUE)
   sum(llValue)
}

## Estimate it with mu=0, sd=1 as start values
ml <- maxLik(llf, start = c(mu=0, sigma=1) )
print(summary(ml))
## Estimates close to c(1,2) :-)

Authors

• Ott Toomet
• Arne Henningsen
• Spencer Graves
• Yves Croissant
• David Hugh-Jones
• Lucca Scrucca

Maintainer: Ott Toomet

References

Henningsen A, Toomet O (2011). maxLik: A package for maximum likelihood estimation in R. Computational Statistics, 26(3), 443-458. doi: 10.1007/s00180-010-0217-1.

History

The package (and its name) was inspired by the maxlik library in gauss programming language.

The very first code of maxLik originates from a PhD econometrics course in fall 2000. The course was taught by Lars Muus at Aarhus University, and a problem set asked the students to implement Gauss-Newton method. Later, OT could not understand error messages of nlm function, and amended the Gauss-Newton to Newton-Raphson. This is the Newton-Raphson method that is one of the central optimizers in current maxLik.