The function "hessian" in the "numDeriv" package can be
useful. It is based
on Richardson extrapolation, and although it involves more computational
effort (depending on the order of the extrapolation), it will provide highly
accurate values.
Ravi.
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Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvaradhan at jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Prof Brian Ripley
Sent: Wednesday, November 01, 2006 3:13 AM
To: Arun Kumar Saha
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Hessian matrix
?deriv can do so algebraically for some functions.
There are various packages which can do so via finite differences, e.g.
fdHess() in nlme and hessian() in numDeriv.
On Wed, 1 Nov 2006, Arun Kumar Saha wrote:
> Dear all R users,
>
> Is there any way to calculate hessian matrix of a given function at any
> given point?
>
> Regards
>
> [[alternative HTML version deleted]]
>
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--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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