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cgo2008
2007 May 29
1
Estimate Fisher Information by Hessian from OPTIM
Dear All,
I am trying to find MLE by using "OPTIM" function.
Difficult in differentiating some parameter in my objective function, I
would like to use the returned hessian matrix to yield an estimate of
Fisher's Information matrix.
My question: Since the hessian is calculated by numerical differentiate, is
it a reliable estimate? Otherwise I would have to do a lot of work to