How to compute the parameter std error (or standard deviation) from the Hessian returned by the Minimize() function?
Hello, I have a problem with calculating the standard error of the parameter estimates using minimize() with the optional parameter <<showdetails which returns a few extra values including the Hessian Matrix. My (rather basic) understanding of the Hessian is that the diagonal elements should be a good approximation of the inverse of the variances. However, I do not get a good agreement between th...