Re: [R] maximum likelihood standard deviation

From: Ben Bolker <bolker_at_zoo.ufl.edu>
Date: Thu 02 Jun 2005 - 21:50:38 EST

Carlo Fezzi <fezzi <at> stat.unibo.it> writes:

>
> 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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>
>

  if you set hessian=TRUE when calling nlm it will give you exactly what you want -- second derivative [sic] of the likelihood w.r.t. parameters (provided of course that your objective function in nlm() is the negative log-likelihood). solve() on the hessian should invert the Hessian and give you the variance-covariance matrix (then sqrt(diag()) to get the s.d.s)



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 22:05:33 2005

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