sigma_matrix: Sigma Matrix

Description Usage Arguments

View source: R/esreg.R

Description

Estimate the sigma matrix.

Usage

1
sigma_matrix(object, sigma_est, misspec)

Arguments

object

An esreg object

sigma_est

The estimator to be used for Σ, see conditional_truncated_variance

  • ind - Variance over all negative residuals

  • scl_N - Scaling with the normal distribution

  • scl_sp - Scaling with the kernel density function

misspec

if TRUE, the estimator accounts for potential misspecification in the model


esreg documentation built on Nov. 16, 2019, 1:07 a.m.