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2004 Feb 19
1
Obtaining SE from the hessian matrix
...g in R, and there
I also get the hessian matrix. What formula should I use in _this_ case?
Well, some times ago I had a glance at gsl, GNU Scientific Library. It
use converted-to-C MINPACK for NLS fit too. And, in the GSL ref. manual
example
http://www.gnu.org/software/gsl/manual/html_node/gsl-ref_36.html#SEC475
SE calculated as
#define ERR(i) sqrt(gsl_matrix_get(covar,i,i))
where covar = (J^T * J)^-1 (i.e. how in the second formulae above).
So, what is the _right_ way for obtatining SE? Why two those formulas above
differ?
Thank you!
--
WBR,
Timur.