NLMIXED: WARNUNG: The final Hessian matrix is not positive definite

News
Artikel
Foren
Join
Projekte
List
Links
Random
Über Redscope
Previous
Next
Startseite › Foren › Allgemeine Fragen zu SAS
NLMIXED: WARNUNG: The final Hessian matrix is not positive
definite
15 June, 2010 - 12:36 — jmeini
Hallo!
Wenn ich die NLMIXED-Prozedur starte, dann erscheint bei mir die Warnung: The final Hessian
matrix is not positive definite, and therefore the estimated covariance matrix is not full rank and
may be unreliable. The variance of some parameter estimates is zero or some parameters are
linearly related to other parameters.
Hier ist mein Code:
proc nlmixed qpoints = 512 data=Tmp1.Moodys_sort_by
ITDETAILS noad GCONV=0;
PARMS rho_U = -0.974557, rho_V = 0.01, rho_Y = 0.05, sigma = 2.413288, beta_0 = -3.209091
BOUNDS -1 < rho_U < 1, 0 < rho_V < 1, 0 < rho_Y < 1, sigma > 0;
linpred_default = (beta_0 + beta_Ba * rating_Ba + beta_B * rating_B + beta_C * rating_C + r
linpred_recovery = gamma_0 + gamma_Ba * rating_Ba + gamma_B * rating_B + gamma_C * rating_
f2 = CDF('NORMAL', linpred_default,0,1);
f2a = CDF('NORMAL', -linpred_default,0,1);
f4 = PDF('NORMAL',(lnrr - linpred_recovery)/sigma,0,1);
f6 = CDF('NORMAL',(rho_U *(lnrr - linpred_recovery)/sigma + linpred_default)/sqrt(1- rho_U
f8 = (f4 / ((sigma / SQRT(1-rho_V)) * f2)) * f6;
ll = ((default=0) * log(f2a) + (default=1) * log(f2)+ (default=1) * log(f8));
model lnrr ~ general(ll);
RANDOM F_t ~ normal(0,1) SUBJECT=year;
run;
Könntet ihr mir da bitte helfen und sagen, wo mein Fehler liegt?
Danke
LG
jmeini
Foren:
Allgemeine Fragen zu SAS
Log in or register to post comments