[R] MLE with parameters restricted to a defined range using bbmle

Bernardo Santos bernardo_brandaum at yahoo.com.br
Mon Dec 8 21:04:50 CET 2014

Dear all,
I am fitting models to data with mle2 function of the bbmle package.In specific, I want to fit a power-law distribution model, as defined here (http://arxiv.org/pdf/cond-mat/0412004v3.pdf), to data.
However, one of the parameters - xmin -, must be necessarily greater than zero. What can I do to restrict the possible values of a parameter that are passed to the optimizer?
Here there is a sample of my code:
# Loading library

# Creating data
data <- rexp(1000, rate = 0.1) # The fit will not be too good, but it is just to test

# Creating the power-law distribution density function
dpowlaw <- function(x, alfa, xmin, log=FALSE){
  c <- (alfa-1)*xmin^(alfa-1)
  if(log) ifelse(x < xmin, 0, log(c*x^(-alfa)))
  else ifelse(x < xmin, 0, c*x^(-alfa))
# Testing the function
integrate(dpowlaw, -Inf, Inf, alfa=2, xmin=1)
curve(dpowlaw(x, alfa=2.5, xmin=10), from=0, to=100, log="")
curve(dpowlaw(x, alfa=2.5, xmin=1), from=1, to=100, log="xy")

# Negative log-likelihood function
LLlevy <- function(mu, xmin){
  -sum(dpowlaw(data, alfa=mu, xmin=xmin, log=T))

# Fitting model to data
mlevy <- mle2(LLlevy, start=list(mu=2, xmin=1))
The result of model fitting here is Coefficients:
       mu      xmin 
-916.4043  890.4248 
but this does not make sense!xmin must be > 0, and mu must be > 1.What should I do?
Thanks in advance!Bernardo Niebuhr

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