Hello all useRs,
I am using the OPTIM function with particular interest in the method
L-BFGS-B,
because it is a box-constraint method.
I have interest in the errors estimates too.
I make:
s.e. <- sqrt( diag( solve( optim(...,method='L-BFGS-B',
hessian=TRUE)$hessian )))
but in help say:
"Note that this is the Hessian of the unconstrained problem even if the
box constraints are active."
My doubts is:
How to obtain a authentic hessian for a box-constraint problem?
How I should make a interpretation of this result (concern the hessian) ?
Is possible make some transformation or so can I considerate this result
a good approximation??
I am grateful for some help!
References are welcome! :-D
Cleber Borges
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