[R] fisher information matrix

[Ravi Varadhan]

Hi,

You can use the function hessian() in the package "numDeriv".  This will
yield a very accurate estimate of the "observed" Fisher information matrix.


library(numDeriv)
?hessian

Ravi.
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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Federico Calboli
Sent: Tuesday, June 26, 2007 7:58 AM
To: r-help
Cc: Gambhir, Manoj
Subject: [R] fisher information matrix

Hi All,

a colleague wants to calculate the Fisher information matrix for a model he 
wrote (not in R). He can easily get the neg-log-likelihood and the best fit 
parameters at the minimum. He can also get negLLs for other parameter values
too.

Given these data, is there a way in R to calculate the Fisher information
matrix?

Best,

Federico

-- 
Federico C. F. Calboli
Department of Epidemiology and Public Health
Imperial College, St Mary's Campus
Norfolk Place, London W2 1PG

Tel  +44 (0)20 7594 1602     Fax (+44) 020 7594 3193

f.calboli [.a.t] imperial.ac.uk
f.calboli [.a.t] gmail.com

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