For a log-likelihood function, the observed Fisher information is
the negative Hessian evaluated at the MLE. This is used for computing
standard errors of MLEs.
Usage
fisher_information(loglik_fn, params)
Arguments
- loglik_fn
Log-likelihood function taking a list of value parameters
- params
List of value objects at MLE
Value
The observed Fisher information matrix (negative Hessian)
Details
The observed Fisher information I(θ̂) = -H(θ̂) where H is the Hessian
of the log-likelihood. Standard errors are sqrt(diag(I⁻¹)).