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I was reading the short intro to nonlinear regression in R by John Fox (Link)

and was wondering where the formula for the variance of the coefficients come from (page 1). The formula for the variance-covariance matrix looks like linear regression but the predictor matrix X in that typical formulation is replaced by the partial derivatives of the function. Can anyone explain this?

Thanks! Brian

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  • $\begingroup$ It is a standard result of M-estimation theory. The basic idea comes from taylor approximation of the minimizing function. You can look at the derivation in Wooldridge's book, or check out van der Vaart's Asymptotic Statistics. $\endgroup$
    – mpiktas
    Commented Sep 18, 2011 at 8:04
  • $\begingroup$ Some ideas can be gleaned from this question too. $\endgroup$
    – mpiktas
    Commented Sep 18, 2011 at 8:06

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