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I wonder if anyone out there could either your wisdom or experience about the following: If I had to calculate MLE using generic optimization algorithms, what does one usually do with calculating standard errors? I know we could do bootstrap or jackknife. Or if one is brave enough, one could derive the 2nd order derivatives and start from there, i.e. SE = ( -L2 )^{-1}, where L2 is the 2nd order derivative. Can't we use (L'L)^{-1} instead, where L is the 1st order derivative? Any general suggestions?
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