R/ihess.R

In SMPracticals: Practicals for Use with Davison (2003) Statistical Models

"ihess" <-
function(f, x, ep = 0.0001, ...)
{
        eps <- ep * x
        n <- length(x)
        m <- matrix(0, ncol = n, nrow = n)
        for(i in 1:n) {
                for(j in 1:n) {
                        x1 <- x
                        x1[i] <- x1[i] + eps[i]
                        x1[j] <- x1[j] + eps[j]
                        x2 <- x
                        x2[i] <- x2[i] + eps[i]
                        x2[j] <- x2[j] - eps[j]
                        x3 <- x
                        x3[i] <- x3[i] - eps[i]
                        x3[j] <- x3[j] + eps[j]
                        x4 <- x
                        x4[i] <- x4[i] - eps[i]
                        x4[j] <- x4[j] - eps[j]
                        m[i, j] <- (f(x1, ...) - f(x2, ...) - f(x3, ...) + f(x4,
                                ...))/(4 * eps[i] * eps[j])
                }
        }
        solve(m)
  }