[R] maximum likelihood standard deviation

[Dimitris Rizopoulos]

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" <fezzi at stat.unibo.it>
To: <r-help at 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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