On Apr 1, 10:57 pm, Ray Koopman <koop...@[EMAIL PROTECTED]
> wrote:
> On Apr 1, 10:13 pm, Luna Moon <lunamoonm...@[EMAIL PROTECTED]
> wrote:
>
> > Hi all,
>
> > Suppose I have a model and I've used MLE to estimate the parameters
> > for the model. What are the good methods that I can use the test the
> > goodness of the MLE estimation results?
>
> > Thanks!
>
> If your model is sufficiently close to correct then the inverse
> of the matrix of second derivatives of the negative log likelihood,
> evaluated at the likelihood-maximizing estimates, is usually a
> consistent estimate of the covariance matrix of the estimates.
> More generally, you can always get an empirical covariance matrix
> by bootstrapping or jackknifing.
How does that relate to evaluation of the performance?
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