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stackreg
2006 Mar 21
1
Hessian from optim()
Hello!
Looking on how people use optim to get MLE I also noticed that one can
use returned Hessian to get corresponding standard errors i.e. something
like
result <- optim(<< snip >>, hessian=T)
result$par # point estimates
vc <- solve(result$hessian) # var-cov matrix
se <- sqrt(diag(vc)) # standard errors
What is actually Hessian representing here?