Standard error for custom Maximum Likelihood Estimation

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Marcel
Marcel 2019년 3월 26일
Hey,
i've used the Maximum Likelihood Estimation (https://de.mathworks.com/help/stats/mle.html) with an custom log probability density function to calculate the parameteres of my regression model. Now I'am trying to get the t-statistic of these estimates. I know that I have to divide my estimate by the standard error of the estimate. How do I calculate the standard error?
Currenly I'am using the mlecov funktion (https://de.mathworks.com/help/stats/mlecov.html) but my Estimates seem off.
basismle = mle(data,'logpdf',@custlogpdf,'start',[0,0,0,0,0,0],'Options',options); % custom likelihood estimate
acov = mlecov(phat,data,'logpdf',@custlogpdf) % Asymptotic covariance
se = sqrt(diag(acov)) % Standard Error
tstat = [phat(1,1)/se(1,1); % t-statistic
phat(1,2)/se(2,1);
phat(1,3)/se(3,1);
phat(1,4)/se(4,1);
phat(1,5)/se(5,1);
phat(1,6)/se(6,1)]
Thanks in advance ,
Marcel

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