cov.dcml | R Documentation |
The estimated covariance matrix of the DCML regression estimator. This function is used internally and not meant to be used directly.
cov.dcml(res.LS, res.R, CC, sig.R, t0, p, n, control)
res.LS |
vector of residuals from the least squares fit |
res.R |
vector of residuals from the robust regression fit |
CC |
estimated covariance matrix of the robust regression estimator |
sig.R |
robust estimate of the scale of the residuals |
t0 |
mixing parameter |
p , n |
the dimensions of the problem, needed for the finite sample correction of the tuning constant of the M-scale |
control |
a list of control parameters as returned by |
The covariance matrix estimate.
Victor Yohai, victoryohai@gmail.com
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