[R] dmvnorm returns NaN

[David Winsemius]

On Oct 17, 2013, at 9:11 PM, Steven LeBlanc wrote:

> Greets,
> 
> I'm using nlminb() to estimate the parameters of a multivariate normal random sample with missing values and ran into an unexpected result from my call to dmvnorm()

There are at least 5 different version of dmvnorm. None of them are in the default packages.

> within the likelihood function. Particular details are provided below.

Complete? Except for the name of the package that has `dmvnorm`.

> It appears that dmvnorm() makes a call to log(eigen(sigma)). Whereas eigen(sigma) is returning a negative number, I understand log()'s complaint. However, it is a mystery to me why this data set should produce such a result.
> 
> Any suggestions?
> 
> Best Regards,
> Steven
> 
>> complete
>             [,1]      [,2]
> [1,]  0.84761637  3.994261
> [2,]  0.91487059  4.952595
> [3,]  0.84527267  4.521837
> [4,]  2.53821358  8.374880
> [5,]  1.16646209  6.255022
> [6,]  0.94706527  4.169510
> [7,]  0.48813564  3.349230
> [8,]  3.71828469  9.441518
> [9,]  0.08953357  1.651497
> [10,]  0.68530515  5.498403
> [11,]  1.52771645  8.484671
> [12,]  1.55710697  5.231272
> [13,]  1.89091603  4.152658
> [14,]  1.08483541  5.401544
> [15,]  0.58125385  5.340141
> [16,]  0.24473250  2.965046
> [17,]  1.59954401  8.095561
> [18,]  1.57656436  5.335744
> [19,]  2.73976992  8.572871
> [20,]  0.87720252  6.067468
> [21,]  1.18403087  3.526790
> [22,] -1.03145244  1.776478
> [23,]  2.88197343  7.720838
> [24,]  0.60705218  4.406073
> [25,]  0.58083464  3.374075
> [26,]  0.87913427  5.247637
> [27,]  1.10832692  3.534508
> [28,]  2.92698371  8.682130
> [29,]  4.04115277 11.827360
> [30,] -0.57913297  1.476586
> [31,]  0.84804365  7.009075
> [32,]  0.79497940  3.671164
> [33,]  1.58837762  5.535409
> [34,]  0.63412821  3.932767
> [35,]  3.14032433  9.271014
> [36,] -0.18183869  1.666647
> [37,]  0.57535770  6.881830
> [38,]  3.21417723 10.901636
> [39,]  0.29207932  4.120408
> [40,]  0.65938218  5.209301
>> u
> [1] 1.267198 5.475045
>> sigma
>          [,1]     [,2]
> [1,] 0.6461647 2.228951
> [2,] 2.2289513 5.697834
>> dmvnorm(x=complete,mean=u,sigma=sigma)

> [1] NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN
> [30] NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN
> Warning message:
> In log(eigen(sigma, symmetric = TRUE, only.values = TRUE)$values) :
>  NaNs produced
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius
Alameda, CA, USA