get_variance_covariance_matrix_model: Variance-covariance matrix implied by a model

In gmwmx2: Estimate Functional and Stochastic Parameters of Linear Models with Correlated Residuals and Missing Data

Variance-covariance matrix implied by a model

Description

Constructs the variance-covariance matrix for a model using its get_variance_covariance_matrix_signal method. Supports both single time_series_model objects and composite sum_model objects.

Usage

get_variance_covariance_matrix_model(model, n, theta = NULL, prep = NULL, ...)

Arguments

model	A time_series_model or sum_model.
n	Length of the signal.
theta	Optional parameter vector (already in domain space of the parameters).
prep	Optional output from prepare_optim_layout(model) (unused for now).

Value

Variance-covariance matrix of dimension ⁠n x n⁠.

gmwmx2 documentation built on June 10, 2026, 5:06 p.m.