Description Usage Arguments Value
estimates pi, lambda and rho in a 2-step iterative algorithim where in each iteration we first estimate w given lambda and rho by convex optimazation and then estimate lambda and rho given pi using black box numerical optimization
1 | estimate_pi_lambda_rho(Y, S, U, max_iter = 10)
|
Y |
matrix of betahats n x 2 |
S |
matrix of std. errors n x 2 |
U |
array prior diagonal 2 x 2 covariance matricies |
pi_lambda_rho_res list of optimized parameters
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