[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

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