ChenYen wrote: > 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]] > > > When the objective function is based on a smooth function (in particular, a mix of exponentials) then in my experience the Fisher information matrix is the same as estimated via the finite difference approximation in numericDeriv or via analytical derivatives -- e.g., for the results discussed in Katharine M. Mullen, Mikas Vengris, and Ivo H. M. van Stokkum. Algorithms for separable nonlinear least squares with application to modelling time-resolved spectra. /Journal of Global Optimization/, vol 38, n 2, 201-213, 2007 (at http://www.nat.vu.nl/~kate/jgo2005.ps)
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