Hi All, a colleague wants to calculate the Fisher information matrix for a model he wrote (not in R). He can easily get the neg-log-likelihood and the best fit parameters at the minimum. He can also get negLLs for other parameter values too. Given these data, is there a way in R to calculate the Fisher information matrix? Best, Federico -- Federico C. F. Calboli Department of Epidemiology and Public Health Imperial College, St Mary's Campus Norfolk Place, London W2 1PG Tel +44 (0)20 7594 1602 Fax (+44) 020 7594 3193 f.calboli [.a.t] imperial.ac.uk f.calboli [.a.t] gmail.com
Function fdHess (in the nlme package) may be useful, hth, ingmar On 26 Jun 2007, at 13:58, Federico Calboli wrote:> Hi All, > > a colleague wants to calculate the Fisher information matrix for a > model he > wrote (not in R). He can easily get the neg-log-likelihood and the > best fit > parameters at the minimum. He can also get negLLs for other > parameter values too. > > Given these data, is there a way in R to calculate the Fisher > information matrix? > > Best, > > Federico > > -- > Federico C. F. Calboli > Department of Epidemiology and Public Health > Imperial College, St Mary's Campus > Norfolk Place, London W2 1PG > > Tel +44 (0)20 7594 1602 Fax (+44) 020 7594 3193 > > f.calboli [.a.t] imperial.ac.uk > f.calboli [.a.t] gmail.com > > ______________________________________________ > R-help@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 > and provide commented, minimal, self-contained, reproducible code.Ingmar Visser Department of Psychology, University of Amsterdam Roetersstraat 15 1018 WB Amsterdam The Netherlands t: +31-20-5256735 [[alternative HTML version deleted]]
Hi, You can use the function hessian() in the package "numDeriv". This will yield a very accurate estimate of the "observed" Fisher information matrix. library(numDeriv) ?hessian Ravi. ---------------------------------------------------------------------------- ------- 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 ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Federico Calboli Sent: Tuesday, June 26, 2007 7:58 AM To: r-help Cc: Gambhir, Manoj Subject: [R] fisher information matrix Hi All, a colleague wants to calculate the Fisher information matrix for a model he wrote (not in R). He can easily get the neg-log-likelihood and the best fit parameters at the minimum. He can also get negLLs for other parameter values too. Given these data, is there a way in R to calculate the Fisher information matrix? Best, Federico -- Federico C. F. Calboli Department of Epidemiology and Public Health Imperial College, St Mary's Campus Norfolk Place, London W2 1PG Tel +44 (0)20 7594 1602 Fax (+44) 020 7594 3193 f.calboli [.a.t] imperial.ac.uk f.calboli [.a.t] gmail.com ______________________________________________ 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 and provide commented, minimal, self-contained, reproducible code.