Diff of /inst/gmm_variance.m [000000] .. [afe5a1]  Maximize  Restore

Switch to side-by-side view

--- a
+++ b/inst/gmm_variance.m
@@ -0,0 +1,25 @@
+# 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