Re: fminsearch: Assignment has more non-singleton rhs dimensions than

Alan Weiss <aweiss@mathworks.com> wrote in message <nce93c$st1$1@newscl01ah.mathworks.com>...
> On 3/16/2016 11:31 AM, RvdH wrote:
> > Hi all,
> >
> > While running our script to estimate some parameters we bumped into a
> > problem. We are using fminsearch and Matlab returns the following error:
> >
> > Assignment has more non-singleton rhs dimensions than non-singleton
> > subscripts
> >
> >
> > Error in fminsearch (line 189)
> > fv(:,1) = funfcn(x,varargin{:});
> >
> > Error in MLE (line 6)
> > [x,fval,exitflag,output] = fminsearch(@(Guess)MLEfunc( Guess, V, r
> > ),Guess);
> >
> >
> > We went through our code multiple times but we can't find the problem.
> > We used the debugger (DBSTOP as well) to check what goes wrong in line
> > 189 of fminsearch and apparently fv(:,1) is 1x3 and
> > funfcn(x,varargin{:}); is 1x177, which is exactly what the error describes.
> >
> > Our code is as follows:
> >
> > Script:
> > meanV = mean(V);
> > varV = var(V);
> >
> > Guess = [meanV,varV]; % The starting guess
> >
> > [x,fval,exitflag,output] = fminsearch(@(Guess)MLEfunc( Guess, V, r
> > ),Guess);
> >
> > Function:
> > % pre-define: % n = # of observations (number)
> > % h = length of time between two obs measured in years (number)
> > % r = riskfree rate (vector)
> > % F = face value of zero coupon debt (vector)
> > % V = estimates of the market value of assets (vector)
> >
> > % assumptions:
> > % A year has 252 trading days
> >
> > function [ LLFS ] = MLEfunc( X, V, r )
> >
> > n = size(V);
> > h = 1/252;
> > F = 100;
> > T = size(V);
> >
> > mu = X(1);
> > sigma = X(2);
> >
> > % Compute Rk = log(Vkh/Vk-1h)^2
> > R = zeros(n,1);
> > for k = 2:n
> > R(k-1) = (log(V(k)/V(k-1)))^2;
> > end
> >
> > % Compute Rrk
> > Rr = zeros(length(R),1);
> > for k = 1:length(R)
> > Rr(k) = (R(k)-(mu-(sigma^2/2)*h))/(sigma^2*h);
> > end
> >
> > % LLF when V observed
> > LLFV1 = -(n/2)*log(2*pi*sigma^2*h);
> > LLFV2 = -(1/2)*sum(Rr);
> > LLFV3 = sum(log(V));
> >
> > LLFV = LLFV1 + LLFV2 + LLFV3;
> >
> >
> > % Compute dkh(sigma)
> > d_sigma = zeros(n,1);
> > norm_d_sigma = zeros(n,1);
> > for k = 1:n
> > d_sigma(k) =
> > (log(V(k)/F)+(r(k)+(sigma^2/2))*(T-k*h))/(sigma*sqrt(T-k*h));
> > norm_d_sigma(k) = normcdf(d_sigma(k));
> > end
> >
> > % LLF when V unobserved
> > LLFS1 = LLFV;
> > LLFS2 = -sum(norm_d_sigma);
> >
> > LLFS = LLFS1 + LLFS2;
> > LLFS = -LLFS;
> > end
> >
> >
> > V is a 177x1 vector, r is a 177x1 vector. The parameters that have to be
> > estimated are mu and sigma, which means x (output in fminsearch) is
> > supposed to be 1x2.
> > We have no clue how to solve this problem, so any kind of help would be
> > greatly appreciated!
>
> A few lines in your code look suspicious to me:
>
> n = size(V);
> h = 1/252;
> F = 100;
> T = size(V);
> ...
> for k = 2:n
> ...
>
> What is the size of n? It is a length-2 vector, not a scalar. I think
> you want
>
> n = length(V);
> T = n;
>
> Alan Weiss
> MATLAB mathematical toolbox documentation

Hi Alan,

Good point, that was part of the problem! Thanks a lot for helping us out.
The program should work now.

Robbert