look at mle() (package "stats4") and optim() (i.e., "optim(...,
hessian = TRUE)").
I hope it helps.
Best,
Dimitris
----
Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven
Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/16/336899
Fax: +32/16/337015
Web: http://www.med.kuleuven.ac.be/biostat/
http://www.student.kuleuven.ac.be/~m0390867/dimitris.htm
----- Original Message -----
From: "Carlo Fezzi" <[EMAIL PROTECTED]>
To: <r-help@stat.math.ethz.ch>
Sent: Thursday, June 02, 2005 1:43 PM
Subject: [R] maximum likelihood standard deviation
Dear R-helpers,
Anybody knows which function can I use to comupute maximum
likelihood
standard errors?
Using the function "nlm" I can get the estimate of the parameters of
any
likelihood that I want (for example now I am working on a jump
diffusion
process) but what about the standard error?
Is there a function that I can use to calculate the second derivate
of
the likelihood function respect to the vector of parameters?
Thank you so much for your help,
Carlo Fezzi
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