confint method for maxLik objects

Wald confidence intervals for Maximum Likelihood Estimates

# S3 method for class 'maxLik'
confint(object, parm, level=0.95,  ...)

Arguments

object

object of class “maxLik” returned by maxLik function

parm

the name of parameters to compute the confidence intervals. If omitted, confidence intervals for all parameters are computed.

level

the level of confidence interval

...

additional arguments to be passed to the other methods

Value

A matrix of lower and upper confidence interval limits (in the first and second column respectively). The matrix rows are labeled by the parameter names (if any) and columns by the corresponding distribution quantiles.

See also

confint for the generic confint function, stdEr for computing standard errors and summary for summary output that includes statistical significance information.

Author

Luca Scrucca

Examples

## compute MLE parameters of normal random sample
x <- rnorm(100)
loglik <- function(theta) {
   dnorm(x, mean=theta[1], sd=theta[2], log=TRUE)
}
m <- maxLik(loglik, start=c(mu=0, sd=1))
summary(m)
#> --------------------------------------------
#> Maximum Likelihood estimation
#> Newton-Raphson maximisation, 4 iterations
#> Return code 1: gradient close to zero (gradtol)
#> Log-Likelihood: -135.882 
#> 2  free parameters
#> Estimates:
#>     Estimate Std. error t value Pr(> t)    
#> mu 0.0005696  0.0941649   0.006   0.995    
#> sd 0.9416532  0.0665846  14.142  <2e-16 ***
#> ---
#> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> --------------------------------------------
confint(m)
#>         2.5 %    97.5 %
#> mu -0.1839902 0.1851294
#> sd  0.8111497 1.0721567
confint(m, "mu", level=0.1)
#>           45 %       55 %
#> mu -0.01126331 0.01240247