hessian matrix for stderr

shiyiming

From dwdus's blog on Baidu


               
                <p>** The SAS subroutine nlpfdd( ), in IML, was also applied to calculate the standard errors of estimates and 95% CIs. The Hessian matrix&nbsp; ** is named as hes2. The variance and covariance were calculated by taking minus the inverse of the Hessian matrix</p><p>** The program is written as follows: </p><p>call nlpfdd(f,g,hes2,‘‘f logL’’, estimate);<br />cov=-inv(hes2);<br />norqua=probit(1-0.05/2);<br />stderr=sqrt(vecdiag(cov));<br />low=estimate-norqua∗ stderr;<br />up=estimate+norqua∗ stderr;<br />** Low and up are the corresponding 95% confidence intervals.</p> <a href="http://hi.baidu.com/dwdus/blog/item/556099f06c9ec7b1a50f524b.html">阅读全文</a>
               
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