From pd@|gd @end|ng |rom gm@||@com  Wed Apr 24 17:30:26 2019
From: pd@|gd @end|ng |rom gm@||@com (peter dalgaard)
Date: Wed, 24 Apr 2019 17:30:26 +0200
Subject: [Rd] Bug in "stats4" package - "confint" method
In-Reply-To: <72C05E94-DB99-45B7-80A7-C8BFC86A7947@iit.it>
References: <72C05E94-DB99-45B7-80A7-C8BFC86A7947@iit.it>
Message-ID: <333CD286-09C6-4FA6-912F-E16E7BB85CD0@gmail.com>

Yep, I know. Well, maybe I didn't, but there are also issues with propagation of fixedness in constrained optimization.

Revising mle() had neen on my todo list for way too long. The bbmle package handles this better, I believe. 

-pd

> On 24 Apr 2019, at 16:51 , Stefano de Pretis <stefano.depretis at iit.it> wrote:
> 
> Dear R developers,
> 
> I noticed a bug in the stats4 package, specifically in the confint method applied to ?mle? objects.
> In particular, when some ?fixed? parameters define the log likelihood, these parameters are stored within the mle object but they are not used by the ?confint" method, which retrieves their value from the global environment (whenever they still exist). 
> 
> Sample code:
> 
>> ## Avoid printing to unwarranted accuracy
>> od <- options(digits = 5)
>> x <- 0:10
>> y <- c(26, 17, 13, 12, 20, 5, 9, 8, 5, 4, 8)
>> 
>> ## Easy one-dimensional MLE:
>> nLL <- function(lambda, y) -sum(stats::dpois(y, lambda, log = TRUE))
>> fit0 <- mle(nLL, start = list(lambda = 5), fixed=list(y=y), nobs = NROW(y))
>> confint(fit0)
> Profiling...
>  2.5 %  97.5 % 
> 9.6524 13.6716 
>> rm(y)
>> confint(fit0)
> Profiling...
> Error in eval(expr, p) : object 'y' not found
> 
> In this sample code, I?m showing that after the removal of y from the global environment the method ?confint? is not able anymore to act on the object ?fit0?.
> 
> This retrieval from the global environment is actually dangerous because it?s silent and in case the user changes the value of ?y? for another purpose the method ?confint? will return a wrong evaluation of the confidence interval without throwing any warning.
> 
> I suggest to use the fixed values that are already contained within the mle object:
> 
>> fit0 at fullcoef[grep('y', names(fit0 at fullcoef))]
> y1  y2  y3  y4  y5  y6  y7  y8  y9 y10 y11 
> 26  17  13  12  20   5   9   8   5   4   8 
> 
> Additionally, the method ?coef? returns both the coefficient and the fixed parameters - while should return only the parameters - , while the ?fullcoef? method is not implemented - while present in the documentation of 'mle-class?.
> 
> Best,
> Stefano
> 
> Center for Genomic Science of IIT at SEMM
> 
> Stefano de Pretis, PhD
> Postdoctoral fellow
> stefano.depretis at iit.it <mailto:stefano.depretis at iit.it>
> Via Adamello 16, 20139 Milan, Italy <http://maps.google.it/maps?q=Via+Adamello+16,+20139+Milan&oe=utf-8&client=firefox-a&ie=UTF8&hq=&hnear=Via+Adamello,+16,+20139+Milano,+Lombardia&gl=it&z=16>
> t: +39 02 94375046
> 
> 
> 
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> 
> ______________________________________________
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-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Office: A 4.23
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com



[Rd] Bug in "stats4" package - "confint" method
peter dalgaard