[ADMB Users] how reliable are ADMB estimates of variances?

[dave fournier]

Hi,

I think the title you give to this question shows that you are
thinking about it wrong. You say "ADMB estimates of variance"
which is not what they are. What they are is the use of the Hessian of
the log-likelihood to produce variance estimates.  This is not an
ADMB construct but simply a standard tool to produce such estimates.
As such the ADMB estimates produced this way are just as good as any
other scheme which produces such estimates *UNLESS* they are not
calculated correctly which would make them an ADMB bug issue.

Now it is well known that the estimates provided this way are good in
the "approximately normal" situation, but they can be very bad
in other situations.  That is why there are other methods such as
profile likelihoods proveded which may be more accurate in such cases.

I believe this is all discussed in the old manual.

    Dave

-- 
David A. Fournier
P.O. Box 2040,
Sidney, B.C. V8l 3S3
Canada
Phone/FAX 250-655-3364
http://otter-rsch.com