"By popular demand": likelihood [R for BE/BA]

Hi all,

to make the objective function return the likelihood, use e.g.:

 Obj.F12=function(Pars) ##returns the restricted log likelihood. ##apart from k, this is line 3 of page 10 of: ##http://people.csail.mit.edu/xiuming/docs/tutorials/reml.pdf ##k is invariant with parameter estimates and variance components. {   CovM=Create.CovM(Pars)   k=  -((length(y)-ncol(X))/2)*log(2*pi)   A= -0.5*log( det(CovM))   B= -0.5*log( det(t(X) %*% solve(CovM) %*% X))   est.b = solve(t(X) %*% solve(CovM) %*% X) %*% t(X) %*% solve(CovM) %*% y   tmp= y - X %*% est.b   C=-0.5 *(t(tmp) %*% solve(CovM) %*% tmp)   return(k+A+B+C) }

The optimised object (F in my original code) will hold the optimised likelihood as F\$value.
Opportunity: Will run a tiny bit faster if k is public, and if solve(CovM) is done a single time.

For example at reltol=1e-8 I get with EMA dataset II a value of 15.33728.

This matches exactly what SAS reports, see post # 21670 above.

I could be wrong, but...

Best regards,
ElMaestro

R's base package has 274 reserved words and operators, along with 1761 functions. I can use 18 of them (about 14 of them properly). I believe this makes me the Donald Trump of programming.