var_lin: Gives the variance of an array Y that is a linear...

In DanielBonnery/CompositeRegressionEstimation: X

Description

Gives the variance of an array Y that is a linear transformation AX of an array X from the coefficients of A and Sigma=Var[X]

Usage

var_lin(A, Sigma)

Arguments

Sigma	An array of dimension b_1 x ... x b_p x b_1 x ... x b_p
coeff	An array of dimension a_1 x ... x a_n x b_1 x ... x b_p

Value

The variance of the AK estimators from the A,K coefficients and the variance covariance matrix .

Examples

 a=c(2,4);b=c(3,10,8);A<-array(rnorm(prod(a)*prod(b)),c(a,b));
 dimnames(A)[1:2]<-lapply(a,function(x){letters[1:x]});names(dimnames(A))[1:2]<-c("d1","d2"); 
 Sigma=array(drop(stats::rWishart(1,df=prod(b),diag(prod(b)))),rep(b,2));
 var_lin(A,Sigma)

DanielBonnery/CompositeRegressionEstimation documentation built on June 17, 2020, 12:16 p.m.