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[b3503c]: gmm_variance_inefficient.m Maximize Restore History

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gmm_variance_inefficient.m    63 lines (57 with data), 2.7 kB

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# 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.
# GMM variance, which assumes weights are not optimal
function V = gmm_variance_inefficient(theta, data, weight, omega, 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);
J = D*weight*D';
J = inv(J);
I = D*weight*omega*weight*D';
V = (1/n)*J*I*J;
endfunction