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rmlehessian-matrix
Roopali Singh
Roopali Singh

Reputation: 3

How to calculate Godambe information matrix in R?

I have a likelihood function in R that I am optimizing using 'optim' and calculating the hessian matrix using hessian=T in the optim function. I want to calculate the Godambe Information matrix in R, which is defined as:

G(theta)= H(theta) J(theta)^-1 H(theta)

where J(theta) is the variability matrix and H(theta) is the sensitivity matrix.

I am not sure how to calculate these matrices in R for my likelihood function and the estimates obtained from the optim. Please help.

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