On Thu, Jan 14, 2010 at 12:37 PM, george brida <[email protected]> wrote:
> Hi the Octavers,
> I remarked that the Octave's function 'bfgsmin' doesn't contain in its
> output argument the Jacobian matrix. This matrix is interesting in nonlinear
> regression because it provides us with the standard errors of the estimates.
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Hi George,
bfgsmin is just used to do the minimization, to get standard errors
there are functions like mle_results and gmm_results in the
econometrics package. Those make use of bfgsmin, and give additional
information, including estimated standard errors. You can call
mle_example or gmm_example to see how they work, if you have the
econometrics package installed:
octave:1> mle_example
warning: str2mat is obsolete and will be removed from a future version
of Octave; please use char instead.
analytic score, unscaled data
warning: dmult is obsolete and will be removed from a future version
of Octave; please use the straightforward (and now efficient) syntax
"diag(A)*B".
******************************************************
Poisson MLE trial
MLE Estimation Results
BFGS convergence: Normal convergence
Average Log-L: -1.562586
Observations: 1000
estimate st. err t-stat p-value
beta1 0.966 0.014 66.793 0.000
beta2 2.017 0.015 136.504 0.000
beta3 3.016 0.006 487.549 0.000
Information Criteria
CAIC : 3148.8951 Avg. CAIC: 3.1489
BIC : 3145.8951 Avg. BIC: 3.1459
AIC : 3131.1718 Avg. AIC: 3.1312
******************************************************
Cheers, Michael
------------------------------------------------------------------------------
Throughout its 18-year history, RSA Conference consistently attracts the
world's best and brightest in the field, creating opportunities for Conference
attendees to learn about information security's most important issues through
interactions with peers, luminaries and emerging and established companies.
http://p.sf.net/sfu/rsaconf-dev2dev
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