"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 asymp
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
400
> > From: tzai...@alcor.concordia.ca
> > To: r-help@r-project.org
> > Subject: [R] Hessian Matrix Issue
> > Message-ID:
> >
> > Content-Type: text/plain;charset=iso-8859-1
> >
> > Dear All,
> >
> > I am running a simulation to o
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 Mo
Uwe Ligges 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 th
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
To: r-help@r-project.org
> Subject: [R] Hessian Matrix Issue
> Message-ID:
>
> 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 in a functio
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 sa
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 t
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