Re: [R] maximum likelihood standard deviation

From: Dimitris Rizopoulos <dimitris.rizopoulos_at_med.kuleuven.be>
Date: Thu 02 Jun 2005 - 21:50:06 EST

look at mle() (package "stats4") and optim() (i.e., "optim(..., hessian = TRUE)").

I hope it helps.

Best,
Dimitris



Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven

Address: Kapucijnenvoer 35, Leuven, Belgium

Tel: +32/16/336899
Fax: +32/16/337015
Web: http://www.med.kuleuven.ac.be/biostat/
     http://www.student.kuleuven.ac.be/~m0390867/dimitris.htm


> Dear R-helpers,
> Anybody knows which function can I use to comupute maximum
> likelihood
> standard errors?
>
> Using the function "nlm" I can get the estimate of the parameters of
> any
> likelihood that I want (for example now I am working on a jump
> diffusion
> process) but what about the standard error?
>
> Is there a function that I can use to calculate the second derivate
> of
> the likelihood function respect to the vector of parameters?
>
> Thank you so much for your help,
>
> Carlo Fezzi
>
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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 Thu Jun 02 22:00:22 2005

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