--- a +++ b/inst/mle_variance.m @@ -0,0 +1,30 @@ +## 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, write to the Free Software +## Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA + +## 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