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Li (1992) proposed an alternative method of estimating the Hessian matrix
based on quadratic regression, as follows: (1) fit the ols regression of
the response on the full second-order model based on all
predictors; (2)
set
to be the
matrix whose
element is the
estimated coefficient of
. Given this estimate of
, proceed as
with other phd methods.
Sandy Weisberg
2002-01-10