update_Sigma_trust: Trust region update function for Sigma

In koekvall/lvmmr: Mixed-type multivariate response regression

Description

Trust region update function for Sigma

Usage

update_Sigma_trust(
  Sigma_start,
  R,
  D2,
  psi,
  M,
  use_idx,
  tol = sqrt(.Machine$double.eps),
  maxit = 100
)

Arguments

Sigma_start	Matrix (r x r ) with starting value for Sigma.
R	Matrix (n x r) of working residuals.
D2	Matrix (n x p) second derivatives of cumulant functions evaluated at the expansion points.
psi	Vector (r x 1) of conditional variance parameters.
M	Matrix (r x r) with restrictions for elements o Sigma (NA = no restriction).
use_idx	Vector with indexes for observations to use in update.
tol	Scalar tolerance parameter for trust region algorithm.
maxit	Integer maximum number of iterations for trust region algorithm.

Value

Matrix (r x r) with update of Sigma

koekvall/lvmmr documentation built on Dec. 13, 2021, 2:35 p.m.