## Copyright (C) 2003,2004,2005 Michael Creel <michael.creel@uab.es> ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; If not, see <http://www.gnu.org/licenses/>. ## usage: [V,scorecontribs,J_inv] = ## mle_variance(theta, data, model, modelargs) ## ## This is for internal use by mle_results # sandwich form of var-cov matrix function [V, scorecontribs, J_inv] = mle_variance(theta, data, model, modelargs) scorecontribs = numgradient(model, {theta, data, modelargs}); n = rows(scorecontribs); I = scorecontribs'*scorecontribs / n; J = numhessian("mle_obj", {theta, data, model, modelargs}); J_inv = inverse(J); V = J_inv*I*J_inv/n; endfunction

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