Re: [Gretl-devel] mle derivatives
On Tue, 23 Sep 2008, Gordon Hughes wrote:
As I understand, when mle is given derivatives of the
log-likelihood, it checks the computed derivatives against its
own numerical derivatives at the first iteration. If they are
different, the program reports that there is a difference and
stops. This is a very useful test, but the diagnostic
information could be a bit more helpful.
Would there be any problem in reporting the computed derivatives
and the numerical derivatives, because this would help the
programmer identify where the error in programming the
derivatives has occurred?
Yes, we could offer some more information; I'll think about how to
do that. Our check is by courtesy of the minpack function chkder
-- you can read the documentation for that function at
http://www.netlib.org/minpack/chkder.f
Allin.