Diff of /mle_variance.m [000000] .. [56b1e1] Maximize Restore

  Switch to side-by-side view

--- a
+++ b/mle_variance.m
@@ -0,0 +1,62 @@
+# Copyright (C) 2003,2004  Michael Creel michael.creel@uab.es
+# under the terms of the GNU General Public License.
+# 
+# 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, write to the Free Software
+# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
+ 
+# Copyright (C) 2003  Michael Creel michael.creel@uab.es
+# under the terms of the GNU General Public License.
+# The GPL license is in the file COPYING
+# 
+# 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, write to the Free Software
+# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
+ 
+# Copyright (C) 2003  Michael Creel michael.creel@uab.es
+# under the terms of the GNU General Public License.
+# The GPL license is in the file COPYING
+# 
+# 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, write to the Free Software
+# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
+ 
+# 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