If you f function is a likelihood (or better a log likelihood), then you can do
profiling. Take the parameter of interest and change it a small amount from
the optimal value, rerun optim with this value fixed and let it optimize over
everything else. Repeat this for several values and see how
Regrading your second question, I guess somehow you get undefined value like
logarithm of zero of your target function for some unfortunate parameter
values in the parameter space.
Devred, Emmanuel wrote:
>
> Hi everyone,
>
> I have two questions:
>
> I would like to get confidence intervals
Emmanuel,
I didn't answer your second question.
You can use the `try' function to capture errors and keep proceeding through
simulations without crashing out:
?try
If `L-BFGS-B' does not work well, you could try the `spg' function in the
"BB" package.
Ravi.
-Original Message-
From:
Hi Emmanuel,
You can obtain standard error estimate from the Hessian matrix evaluated at
the optimum as: sqrt(diag(solve(ans$hessian))), where `ans' is the object
returned by `optim'. However, `optim' does not return the Hessian matrix by
default. So, you need to specify `hessian = TRUE' when you
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