R/ConJacob.dlrm.R

In StReg: Student's t Regression Models

ConJacob.dlrm <-
function(a,lag,l,v,c)
{
Jv <- function(a)
{
S <- BlockTop(a[1:((lag+3)*(l+1)*l/2)],l,lag)$S

S11 <- S[1:1,1:1] ; S12 <- S[1:1,(1+1):ncol(S)] ; S22 <- S[(1+1):ncol(S),(1+1):ncol(S)]
SS <- solve(S22)  ; Q <- SS/v ; B1 <- SS%*%(S12) ; s2 <- S11-S12%*%SS%*%(S12) 

if(c!=0) {MU <- matrix(c(a[(((lag+3)*(l+1)*l/2)+1):(((lag+3)*(l+1)*l/2)+l*c)]),l,c)}

if(c!=0) {Delta0 <- MU[1:1,] - t(B1)%*%MU[c(2:l,rep(1:l,lag)),]}
if(c==0) {Delta0 <- 0}

	c.var <- c(s2[1,1]*vech(SS)/(v+l*lag-2))
	var.coef <- c(v*s2[1,1]/(v+l*lag-2),c.var)

var.coef
}

return(list(Jv=jacobian(Jv,a)))

}