What do You went Your Hessian Is Not Invertible: Alternatives to Model Respecification in Nonlinear Estimation  

Oleh:

Gill, Jeff ; King, Gary

Jenis: Article from Bulletin/Magazine
Dalam koleksi: Sociological Methods and Research vol. 33 no. 01 (Aug. 2004), page 54.
Topik: Hessian; generalize inverse; importance sampling; generalizet Cholesky;

Isi artikel

What should a researcher do when statistical analysis software terminates before completion white a message that the Hessian ia not invertible? The standard textbook advice is to respecify the model, but this is another way of saying that the researcher should change the question being asked. Obviously, however, computer programs should not be in the business of deciding what questions are worthy of study. Although noninvertable Hessians are sometimes signals of poorly posed questions, nonsensical models, or inappropriate estimators, they also frequently occur when information about the quentities of interest exists in the data throughthe likelihood function. the authors explains the problem in some detail and lay out two pleliminary proposals for ways of dealing with noninvertable Hessians without changing the question asked.

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