covXyXy: Estimates Cov(X_k'y, X_j'y)

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

covXyXy(k, j, S, X, Y, sigma_sq, x_prime_x, N)

Arguments

k	column index of first X.
j	column index of second 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
sigma_sq	estimate of σ^2
x_prime_x	X'X
N	Number of rows in X

Value

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

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