[R] hessian matrix in arima
Prof Brian Ripley
ripley at stats.ox.ac.uk
Thu Oct 4 12:15:28 CEST 2007
On Thu, 4 Oct 2007, Di Wang wrote:
> I am working or arima.
> I think arima uses non-linear optimisation for parameter optimisation. The
> standard error for parameters are computed from hessian matrix. When I use
> arima model, how can I see the finial hessian got from non-linear
> optimisation (BFGS for example).
By stepping through the code: it is not stored in the object returned.
> Any help is appreciated.
> Many thanks.
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> and provide commented, minimal, self-contained, reproducible code.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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