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Topic: fmincon hessian problem
Replies: 16   Last Post: Jul 4, 2014 10:00 PM

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Kazim Azam

Posts: 17
Registered: 2/23/09
fmincon hessian problem
Posted: Jun 16, 2009 12:17 PM
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I have few likelihood functions prewritten. I try to optimize them through "fmincon" function. For my estimated parameters, I then want to find the Hessian computed at those values. Once I get the Hessian I am interested in taking the inverse of the hessian multiplied by minus, which is basically the Information Matrix. This Information matrix is the Variance-Covariance Matrix and the On-Diagonal elements give us the variance (Square root of it gives the standard error of the estimates). Unfortunatly, the some of the var-cov matrix on-diagonal elements are negative which does not makes sense as the var-cov has to be positive. Any help would be great, or any alternative way to compute standard errors.

% 10. Time-varying normal Copula
lower = -5*ones(3,1); % in theory there are no constraints, but setting loose constraints sometimes helps in the numerical optimisation
upper = 5*ones(3,1);
theta0 = [log((1+kappa1)/(1-kappa1));0;0];
[ kappa10 LL10, EXITFLAG, OUTPUT, LAMBDA, GRAD, HESSIAN] = fmincon('bivnorm_tvp1_CL',theta0,[],[],[],[],lower,upper,[],options,[u,v],kappa1)
[LL10, rho10] = bivnorm_tvp1_CL(kappa10,[u,v],kappa1);

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