[R] maximum likelihood standard deviation

Carlo Fezzi fezzi at stat.unibo.it
Thu Jun 2 13:43:11 CEST 2005


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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