Dear R-helpers, Anybody knows which function can I use to comupute maximum likelihood standard errors? Using the function "nlm" I can get the estimate of the parameters of any likelihood that I want (for example now I am working on a jump diffusion process) but what about the standard error? Is there a function that I can use to calculate the second derivate of the likelihood function respect to the vector of parameters? Thank you so much for your help, Carlo Fezzi
look at mle() (package "stats4") and optim() (i.e., "optim(...,
hessian = TRUE)").
I hope it helps.
Best,
Dimitris
----
Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven
Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/16/336899
Fax: +32/16/337015
Web: http://www.med.kuleuven.ac.be/biostat/
http://www.student.kuleuven.ac.be/~m0390867/dimitris.htm
----- Original Message -----
From: "Carlo Fezzi" <fezzi at stat.unibo.it>
To: <r-help at stat.math.ethz.ch>
Sent: Thursday, June 02, 2005 1:43 PM
Subject: [R] maximum likelihood standard deviation
> Dear R-helpers,
> Anybody knows which function can I use to comupute maximum
> likelihood
> standard errors?
>
> Using the function "nlm" I can get the estimate of the parameters
of
> any
> likelihood that I want (for example now I am working on a jump
> diffusion
> process) but what about the standard error?
>
> Is there a function that I can use to calculate the second derivate
> of
> the likelihood function respect to the vector of parameters?
>
> Thank you so much for your help,
>
> Carlo Fezzi
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>
Carlo Fezzi <fezzi <at> stat.unibo.it> writes:> > Dear R-helpers, > Anybody knows which function can I use to comupute maximum likelihood > standard errors? > > Using the function "nlm" I can get the estimate of the parameters of any > likelihood that I want (for example now I am working on a jump diffusion > process) but what about the standard error? > > Is there a function that I can use to calculate the second derivate of > the likelihood function respect to the vector of parameters? > > Thank you so much for your help, > > Carlo Fezzi > > ______________________________________________ > R-help <at> stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > >if you set hessian=TRUE when calling nlm it will give you exactly what you want -- second derivative [sic] of the likelihood w.r.t. parameters (provided of course that your objective function in nlm() is the negative log-likelihood). solve() on the hessian should invert the Hessian and give you the variance-covariance matrix (then sqrt(diag()) to get the s.d.s)