[R] Estimate Fisher Information by Hessian from OPTIM

From: ChenYen <neoism.renu_at_msa.hinet.net>
Date: Tue, 29 May 2007 23:14:27 +0800

Dear All,
I am trying to find MLE by using "OPTIM" function.

Difficult in differentiating some parameter in my objective function, I would like to use the returned hessian matrix to yield an estimate of Fisher's Information matrix.

My question: Since the hessian is calculated by numerical differentiate, is it a reliable estimate? Otherwise I would have to do a lot of work to write a second derivative on my own.  

Thank you very much in advance

        [[alternative HTML version deleted]]

R-help_at_stat.math.ethz.ch 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. Received on Tue 29 May 2007 - 16:01:46 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Thu 31 May 2007 - 13:31:37 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.