[R-sig-ME] Confidence intervals on correlation parameter estimates

Ben Bolker bolker at ufl.edu
Tue Jul 21 16:21:52 CEST 2009

H c wrote:
> Hi,
> Thanks for the reply and advice.  unfortunately when incorporating
> correlation structures(e.g. AR(1)) into a mixed model, lme() uses numerical
> methods for the calculation of the related parameters(e.g. Phi).  (the
> numerical methods used are in the nlminb()).  In any case, it is because no
> closed form of the derivative of the log-likelihood with respect to these
> parameters is available.  This suggests to me that the inverse Hessian of
> the log ML function is also unavailable.
> If anyone knows of a source that can confirm or refute any of these
> thoughts, that would be GREAT!
> Harlan

  Don't know of a source, but it's extremely standard in this situations
for the system to use the Hessian estimated by (second) finite differences.
  If you need to know badly enough, why not look at the code ... ?

  good luck,
    Ben Bolker

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