[R] Confidence interval on parameters from optim function

[Ravi Varadhan]

Hi Emmanuel,

You can obtain standard error estimate from the Hessian matrix evaluated at
the optimum as: sqrt(diag(solve(ans$hessian))), where `ans' is the object
returned by `optim'. However, `optim' does not return the Hessian matrix by
default.  So, you need to specify `hessian = TRUE' when you call `optim'.
There are two issues that I would think about:

1.  You need to pay attention to the standard regularity conditions that are
required in order for the confidence interval to be valid.  One important
condition is that the solution be in the interior of the parameter space.
Since you are using box-constraints, I would check to make sure that the
solution is not on the boundary. 

2.  The Hessian returned by `optim' is a bit inaccurate.  Often, this is not
a big deal.  There are situations, however, where this matters, as you might
get an indefinite Hessian due to inaccuracy. So, I generally prefer to use
the `hessian' function in the "numDeriv" package.

Ravi.


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Devred, Emmanuel
Sent: Wednesday, August 19, 2009 9:41 AM
To: r-help at r-project.org
Subject: [R] Confidence interval on parameters from optim function

Hi everyone,

I have two questions:

I would like to get confidence intervals on the coefficients derived
from the optim() function.
I apply optim() to a given function f
> res <-
optim(c(0.08,0.04,1.),f,NULL,method="L-BFGS-B",lower=c(0.,0.,0.))
And I would like to get the p-value and confidence intervals associated
with 
> res$par

My second question deals with error message. I am doing a loop with the
optim() function in it, when I get an error message like below, the loop
is stopped, however I would like to change my initial values to avoid
this error message and keep the loop going, so if it crashes when I am
away the program can still run, any idea ?

Error in optim(c(0.08, 0.04, 1), f, NULL, method = "L-BFGS-B", lower =
c(0,  : 
  L-BFGS-B needs finite values of 'fn'

Thank you for any information on these two problems.

  Emmanuel

-------------------------------------------
Dr. Emmanuel Devred
Bedford Institute of Oceanography,
1 Challenger Drive,
Dartmouth, Nova Scotia, B2Y 4A2,
Canada

Ph:  (1) 902 426-4681
Fax: (1) 902 426-9388

devrede at mar.dfo-mpo.gc.ca

http://myweb.dal.ca/edevred/
-------------------------------------------



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