[R] Hessian from optim()

Gregor Gorjanc gregor.gorjanc at bfro.uni-lj.si
Tue Mar 21 09:07:03 CET 2006


Looking on how people use optim to get MLE I also noticed that one can
use returned Hessian to get corresponding standard errors i.e. something

result <- optim(<< snip >>, hessian=T)
result$par                  # point estimates
vc <- solve(result$hessian) # var-cov matrix
se <- sqrt(diag(vc))        # standard errors

What is actually Hessian representing here? I appologize for lack of
knowledge, but ... Attached PDF can show problem I am facing with this

Thank you very much in advance.

Lep pozdrav / With regards,
    Gregor Gorjanc

University of Ljubljana     PhD student
Biotechnical Faculty
Zootechnical Department     URI: http://www.bfro.uni-lj.si/MR/ggorjan
Groblje 3                   mail: gregor.gorjanc <at> bfro.uni-lj.si

SI-1230 Domzale             tel: +386 (0)1 72 17 861
Slovenia, Europe            fax: +386 (0)1 72 17 888

"One must learn by doing the thing; for though you think you know it,
 you have no certainty until you try." Sophocles ~ 450 B.C.
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