Sorry but I don't modified my function with "mle2" :( :(
Can you give example how to obtain Hessian with numDeriv ?
Serdar
######################### Function
Linn=function(param){
phi1=((param[1]^2/(1+param[1]^2)))
phi2=((param[2]^2/(1+param[2]^2)))
phi3=((param[3]^2/(1+param[3]^2)))
phi4=((param[4]^2/(1+param[4]^2)))
sigw1=sqrt(exp(param[5]))
sigw2=sqrt(exp(param[6]))
sigw3=sqrt(exp(param[7]))
sigw4=sqrt(exp(param[8]))
sigv=sqrt(exp(param[9]))
Betam1=((param[10]*100)/(sqrt(1+param[10]^2)))
Betam2=((param[11]*100)/(sqrt(1+param[11]^2)))
Betam3=((param[12]*100)/(sqrt(1+param[12]^2)))
Betam4=((param[13]*100)/(sqrt(1+param[13]^2)))
phi=diag(c(phi1,phi2,phi3,phi4),4,4)
betam=c(Betam1,Betam2,Betam3,Betam4)
sigw=diag(c(sigw1,sigw2,sigw3,sigw4),4,4)
a<-(1.001)
mu0=c(ols[1,1],ols[2,1],ols[3,1],ols[4,1])
sigma0=diag(c(a,a,a,a),4,4)
kf=kfilter1(n,rt,rm,mu0,sigma0,phi,betam,sigw,sigv)
return(kf$like)
}
a<-(1.001)
init.par<-c(0.5,0.5,0.5,0.5,a,a,a,a,a,ols[1,1],ols[2,1],ols[3,1],ols[4,1])
###########################
--
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