Yes, numDeriv::hessian is very accurate. So, I normally take the output from
the optimizer, *if it is a local optimum*, and then apply numDeriv::hessian to
it. I, then, compute the standard errors from it.
However, it is important to know that you have obtained a local optimum. In
fact, you
However, it is not known whether the standard errors obtained from this
Hessian are asymptotically valid.
Let me rephrase this. I think that as a measure of dispersion, the standard
error obtained using the augmented Lagrangian algorithm is correct. However,
what is *not known* is the
On 09/03/2011 08:22 PM, dave fournier wrote:
I wonder if your code is correct?
I ran your script until an error was reported. the data set
of 30 obs was
[1] 0 0 1 3 3 3 4 4 4 4 5 5 5 5 5 7 7 7 7 7 7 8
9 10 11
[26] 12 12 12 15 16
I created a tiny AD Model Builder
is to code the Hessian,
but that is
messy and tedious in most cases.
Best, JN
On 09/03/2011 06:00 AM, r-help-requ...@r-project.org wrote:
Message: 59
Date: Fri, 2 Sep 2011 15:33:13 -0400
From: tzai...@alcor.concordia.ca
To: r-help@r-project.org
Subject: [R] Hessian Matrix Issue
Message
Uwe Ligges ligges at statistik.tu-dortmund.de writes:
I have not really looked into the details of the lengthy and almost
unreadable code below. In any case, there are good reasons why numerics
software typically uses Fisher scoring / IWLS in order to fit GLMs.
And if your matrix is
I have not really looked into the details of the lengthy and almost
unreadable code below. In any case, there are good reasons why numerics
software typically uses Fisher scoring / IWLS in order to fit GLMs.
And if your matrix is that singular, even the common numerical tricks
may not
Subject: [R] Hessian Matrix Issue
Message-ID:
e6dc43b4487eb4a4055e1ab485f015f0.squir...@webmail.concordia.ca
Content-Type: text/plain;charset=iso-8859-1
Dear All,
I am running a simulation to obtain coverage probability of Wald type
confidence intervals for my parameter d
I wonder if your code is correct?
I ran your script until an error was reported. the data set
of 30 obs was
[1] 0 0 1 3 3 3 4 4 4 4 5 5 5 5 5 7 7 7 7 7 7 8 9
10 11
[26] 12 12 12 15 16
I created a tiny AD Model Builder program to do MLE on it.
DATA_SECTION
init_int
Dear All,
I am running a simulation to obtain coverage probability of Wald type
confidence intervals for my parameter d in a function of two parameters
(mu,d).
I am optimizing it using optim method L-BFGS-B to obtain MLE. As, I
want to invert the Hessian matrix to get Standard errors of the two
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