#evcmat() estimate the variance-covariance matrix of ATS value estimators
evcmat<-function(data,method="Gest",family="gaussian",common=TRUE){
D<-as.data.frame(data); Ma<-method; FA<-family; CO<-common
Nstage<-nstage(data=D)
if (is.null(D$O1)) {Base<-0} else {Base<-1}
Dmat<-as.matrix(atsscan(data=D))
G<-dim(Dmat)[1] #number of strategies
L<-dim(Dmat)[2]
Dmat<-Dmat[,c(-1,-L)]
Dmat[which(is.na(Dmat))]<-0
evmat<-matrix(rep(NA,G*G),ncol=G)
if (Nstage==1 && Base==0) {
for (g1 in seq(G)){
for (g2 in seq(G)){
evmat[g1,g2]<-ecov(data=D,ats1=Dmat[g1],
ats2=Dmat[g2],family=FA,common=CO)
}}}
else {
for (g1 in seq(G)){
for (g2 in seq(G)){
evmat[g1,g2]<-ecov(data=D,
ats1=Dmat[g1,],ats2=Dmat[g2,],
family=FA,common=CO)
}}}
return(evmat)
}
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