## Copyright (C) 2003,2004,2005 Michael Creel
##
## 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