Re: robust maximum likelihood estimation

[Spencer Graves <spencer.graves@PDF.COM>]

You can get the hessian from "optim" in library(MASS).  I can't comment 
on your other questions.
hope this helps.  spencer graves

chris.2.wallace@gsk.com wrote:
> I am a relatively new user of Splus (experienced user of stata)
>
> I would like to use maximum likelihood to fit a model which can be 
> expressed as a function of a linear predictor:
> L= A*(1-p)^2 + B*p*(1-p) + C*p^2
>
> A, B and C are fixed constants, and p=1/(1+exp(-eta)) where eta=Xb.
>
> I have found the function nlmin and can use this to obtain maximum 
> likelihood estimates of b.  However, I would also like to obtain standard 
> errors and believe asymptotic properties of MLEs may not hold.  Therefore 
> I would like to use clustered robust estimation.
> Can anyone point me in the direction of appropriate functions or some 
> example code?  The robust library available in Splus v 6.1 does not appear 
> to allow user-defined likelihoods.
> Many thanks, Chris.
>
>
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