[R] non-derivative based optimization and standard errors.

[Jean Eid]

The problem is that it is a very complicated model and bootstrap will
probably take months. The objective function itself is making use of Monte
Carlo simulation because it is next to impossible to get at a closed form
solution (of the objective function itself). So I simulate this function
and get its expectation and match that to data. I thought of doing a
bootstrap but it will take so much time. I guess if this is the only way,
then it has to be done.


Jean

On Wed, 23 Mar 2005, Spencer Graves wrote:

>       Have you considered bootstrap or Monte Carlo?
>
>       spencer graves
>
> Jean Eid wrote:
>
> >Hi AlL,
> >
> >I ahve this problem that my objective function is discontinous in the
> >paramaters and I need to use methods such as nelder-mead to get around
> >this. My question is: How do i compute standard errors to a problem that
> >does not have  a gradient?
> >
> >
> >Any literature on this is greatly appreciated.
> >
> >
> >Jean,
> >
> >______________________________________________
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> >
> >
>
>