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theta_1
2004 Apr 02
0
Hessian in constrOptim
...rOptim there is an option to get an approximation
to the hessian of the surrogate function R at MLE by declaring
hessian=TRUE in the calls to the function optim. I would like to ask
if it is advisable to get an approximate hessian for the funcrion f as
follows:
f''(theta)=R''(theta|theta_k)-B''(theta)
where B''(theta)=mu*sum((g(theta_k)/g(theta)^2)u_i*u_i^T) denotes the
second derivative of the barrier function
(following the notation given by Lange (1999)) where
R''(theta|theta_k) will be replaced by the approximate hessian at MLE
returned by optim.
Thanks...