Dear R-help:
Is there a way to extract a robust covariance matrix from optim? I am looking
for one of the form H V H; where H is the inverse of the Hessian, and V is
dLL/dT * dLL/dT’ (LL=Log-likelihood, T=vector of parameters, d is the partial).
Optim returns H, which approximates for the covariance matrix in the mle
packages, but I was hoping for something more sandwich-like. Any help/ direction
would be much appreciated.
I am fairly new to R, so forgive me if this question is inappropriate for the
list. If I don’t hear back from anyone, I’ll get the hint.
Thanks, AEA
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