Standard Errors after fmincon using fminunc

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Prachi Singh
Prachi Singh 2016-5-29
Hi,
I am running a MLE using fmincon, however I am not sure how to calculate standard errors of the estimated parameters. It has been mentioned that the hessian given by fmincon is inaccurate and we should rather use Hessian from fminunc.
So I am currently following the following steps -
1) Running fmincon to get parameter estimates
2) If estimated parameters do not lie on the bounds then proceed to step 3
3) Use fminunc to get the correct Hessian matrix (I use appropriate initial values, so that my parameter estimates are close to the ones estimated in Step-1)
4) USe err = sqrt(diag(inv(HESSIAN))) to get standard errors for parameters estimated in Step-1
Please let me know if I am following the steps correctly.
Regards, Prachi

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