[R] hessian and standard errors

Kemp S E (Comp)
2005-02-19T12:30:46Z

Hi,

I am writing some R code that fits a transfer function to a particular time
series, using the optim() function (BFGS method) to minimize the sum-of-squared
errors (SSE). I wish to estimate the standard errors of the parameter estimates
returned by optim. Am I right in thinking that I can use the following


std.err <- sqrt(diag(np*fit$value/(M - 2) * solve(fit$hessian)))

where np are the number of parameters, fit$value is the SSE of the fitted model,
M is the number of observations and fit$hessian is the hessian matrix returned
by the optim() function?

Kind regards,

Sam.

-------------------------------------
Samuel E. Kemp
School of Computing
University of Glamorgan
South Wales
UK

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