R-beta: SEs for one-param MLE in R?
Martin Maechler
maechler at stat.math.ethz.ch
Tue Apr 14 18:22:12 CEST 1998
>>>>> "Bill" == Bill Simpson <wsimpson at uwinnipeg.ca> writes:
Bill> Simple-mindedly I tried getting MLE and SE for one-parameter
Bill> model in the same way as for multi-param models.
Bill> out<-nlm(fn,p=c(2),hessian=T)
Bill> But sqrt(diag(solve(out$hessian))) gives the answer 1. The
Bill> Hessian has only one entry, not really a matrix. diag(x) gives 1
Bill> if x is just a single number.
Bill> Is this what I should be doing to get SE for MLE?
Bill> sqrt(solve(out$hessian))
Bill> Thanks very much for any help!
Well,
.Internal(nlm(..)) should be fixed to always return a matrix in $ hessian.
However, your problem is solved easily by always using
p <- length(estimate)
SE <- sqrt(if(p==1) 1/out$hessian else diag(solve(out$hessian)))
BTW: I am (we are) interested in the functions that you are writing for nlm(.)
It certainly is worthwhile to have nlm(.) return a class "nlm" result
and provide print.nlm(.) and summary.nlm(.) functions
{{ Jim Lindsey already posted something like this, unfortunately using
"nls" which we don't want as long as it is not very close to S'
nls(.) function
}}
Martin
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