covXX: Estimates Cov(X_k'X_j, X_m'X_l)

In georgieevans/PrivacyUnbiased: Unbiased Estimates from Privacy Protected Data

Description

This function estimates components of variance-covariance matrix to subsequently draw random variable of \tilde{β} from a multivariate normal.

Usage

covXX(k, j, l, m, S, X, x_prime_x, N)

Arguments

k	column index of first X.
j	column index of second X.
l	column index of fourth X.
m	column index of third X.
S	Matrix of error terms. Dimensions must be ncol(X) x ncol(X)
X	Design matrix that produced OLS coefficients
x_prime_x	X'X
N	Number of rows in X

Value

Estimate of Cov(X_k'X_j, X_m'X_l)

georgieevans/PrivacyUnbiased documentation built on May 22, 2021, 1:01 p.m.