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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
 predictors; (2)
set  to be the
 to be the  matrix whose
 matrix whose  element is the
estimated coefficient of
 element is the
estimated coefficient of  .  Given this estimate of
.  Given this estimate of  , proceed as
with other phd methods.
, proceed as
with other phd methods.
Sandy Weisberg
2002-01-10