covXyXX: Estimates Cov(X_k'y, X_j'X_m)

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

covXyXX(k, j, m, S, X, Y, N)

Arguments

k	column index of first X.
j	column index of second 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
Y	Dependent variable from OLS model
N	Number of rows in X

Value

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

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