Output Hessian for Optimization in Mathematica Stan


#1

Operating System: Windows 7
Interface Version: Mathematica Stan

I am using Mathematica Stan and would like to output the hessian from the optimize command so that I can calculate standard errors. Does anyone know how to do this?


#2

Hi mattstern2,

I have written the MathematicaStan interface. It uses the CmdStan interface. If Hessian is available in the csv output file I can fix that. However, if Hessian access requires a direct interaction at the C++ level, like RStan, I am afraid it is not be possible for the moment.

Maybe a Mathematica interface at the C++ level would interest people, I do not know.

Can somebody confirm us that Hessian is not directly accessible through the csv output file?

Vincent


#3

Nope, not yet. RStan’s calculating it using finite differences.