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rlog-likelihood

How can I estimate standard error in maximum likelihood destinati in

I can’t estimate standard error for parametri in maximum likelihood estimation. How could I do?

Solution

  • You have to evaluate the Hessian to estimate standard error for a parameter

    fit = optim(start.theta, fn = function,    #start.theta initial value of paramter
                    hessian = TRUE, method = "L-BFGS-B",     #hessian True to calculate Hessian matrix
                    lower = c(), 
                    upper = c(),
                    control = list(trace = 1, fnscale = -1))  #fnscale= -1 to maximize the function



        theta.hat = fit$par                 #parameter estimate
        sd.hat = sqrt(diag(solve(fit$hessian/(n-1))))  #se estimate
           # you could use also optimHess to evaluate the Hessian