[8e1f3a]: gmm_variance.m Maximize Restore History

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gmm_variance.m    26 lines (23 with data), 1.1 kB

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# Copyright (C) 2003,2004 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, write to the Free Software
# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
# GMM variance, which assumes weights are optimal
function V = gmm_variance(theta, data, weight, moments, momentargs)
D = numgradient("average_moments", {theta, data, moments, momentargs});
D = D';
m = feval(moments, theta, data, momentargs); # find out how many obsns. we have
n = rows(m);
V = (1/n)*inv(D*weight*D');
endfunction