I originally asked a question about the delta-method in the context of the hyperbolic distribution. I got an answer there, which is useful, except that it says I should apply the
vcov function to my fitted function what is unfortunately not possible. The
vcov was there to give me the variance-covariance matrix of the parameter $\zeta,\pi,\delta$. Now I want to calculate this variance-covariance manually. According to this question of me, I know how to get the variance-covariance matrix out of the hessian. Unfortunately according to this this is the hessian for
pi, log(zeta), log(delta), and mu and not for the desired
pi, zeta, delta, and mu.
So my basic problem is how to get the variance-covariance matrix of the parameter estimates of the hyperbolic distribution (in my original post this was the Sigma solved with the vcov function which does not work)? I know how to get the variance-covariance matrix out of the hessian, but I have the wrong hessian. So what should I do now? Is it possible to transform the hessian from
pi, log(zeta), log(delta), and mu into the hessian of
pi, zeta, delta, and mu and how is this done?
Or is there an easier way to get vcov running?
I am really stuck here and don't know how to continue.
My main question is: How to get the answer of COOLSerdash in this post working? The vcov function is not working and also the hessian cannot be used, see my description of the error message and my comments to the answer.