How can I solve non-convergence of maximum likelihood (ML) estimator in Poisson regression?

01 January 2015 1 8K Report

I am using iteratively weighted least squares algorithm to obtain ML estimates in Poisson regression. Due to the factorial term in the log-likelihood equation, I can not compute the log-likelihood value which becomes -Inf. I think it is because of some big values of the dependent variable computed from the Poisson regression.

Do you have any solution?

Martin Schmettow

I agree with Giancarlo Sadoti: a pure Poisson model is only appropriate when there are no unknown influencing variables. Have you checked for overdispersion?

When ML estimation fails, you could try MCMC estimation, the MCMCglmm library of R is a good starting point.

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