profile.covariance: Profile.covariance

In CollocInfer: Collocation Inference for Dynamic Systems

Profile.covariance

Description

Newey-West estimate of covariance of parameter estimates from profiling.

Usage

Profile.covariance(pars,active=NULL,times,data,coefs,lik,proc,
          in.meth='nlminb',control.in=NULL,eps=1e-6,GN=FALSE)

Arguments

pars	Initial values of parameters to be estimated processes.
active	Incides indicating which parameters of pars should be estimated; defaults to all of them.
times	Vector observation times for the data.
data	Matrix of observed data values.
coefs	Vector giving the current estimate of the coefficients in the spline.
lik	lik object defining the observation process.
proc	proc object defining the state process.
in.meth	Inner optimization function currently one of 'nlminb', 'MaxNR', 'optim' or 'house'. The last calls SplineEst.NewtRaph. This is fast but has poor convergence.
control.in	Control object for inner optimization functions.
eps	Step-size for finite difference estimate of second derivatives.
GN	Indicator of whether a Gauss-Newton approximation for the Hessian should be employed. Only valid for least-squares methods.

Details

Currently assumes a lag-5 auto-correlation among observation vectors.

Value

Returns a Newey-West estimate of the covariance matrix of the parameter estimates.

See Also

ProfileErr, ProfileSSE, Profile.LS, Profile.multinorm

Examples

# See example in Profile.LS

CollocInfer documentation built on April 4, 2025, 2:21 a.m.