Re: [R] non-derivative based optimization and standard errors.

From: Jean Eid <jeaneid_at_chass.utoronto.ca>
Date: Fri 25 Mar 2005 - 01:12:28 EST


The problem is that it is a very complicated model and bootstrap will probably take months. The objective function itself is making use of Monte Carlo simulation because it is next to impossible to get at a closed form solution (of the objective function itself). So I simulate this function and get its expectation and match that to data. I thought of doing a bootstrap but it will take so much time. I guess if this is the only way, then it has to be done.

Jean

On Wed, 23 Mar 2005, Spencer Graves wrote:

> Have you considered bootstrap or Monte Carlo?
>
> spencer graves
>
> Jean Eid wrote:
>
> >Hi AlL,
> >
> >I ahve this problem that my objective function is discontinous in the
> >paramaters and I need to use methods such as nelder-mead to get around
> >this. My question is: How do i compute standard errors to a problem that
> >does not have a gradient?
> >
> >
> >Any literature on this is greatly appreciated.
> >
> >
> >Jean,
> >
> >______________________________________________
> >R-help@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
> >
> >
>
>



R-help@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 Received on Fri Mar 25 01:11:27 2005

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