posandwich.estimator: Pseudo-observation variance sandwich estimator

In pimold: Probabilistic Index Models

Description

Pseudo-observation variance sandwich estimator

Usage

posandwich.estimator(U, U.diff, g1, g2, shared.factor = 1,
  switched.factor = 1, self.factor = 1, verbosity = 0)

posandwich.estimator.Uforposandwich(Uforposandwich, poset, verbosity = 0)

Uforposandwich.default(Zbeta, Z, Y, link, W = NULL)

Uforposandwich.fakeH0(Zbeta, Z, Y, link, W = NULL)

Arguments

U	See the formula for sandwich estimator: holds U_{ij}
U.diff	See the formula for sandwich estimator: holds the partial derivatives of U.
g1, g2	Index in the original observations of the "left" and "right" part of the pseudo- observations.
shared.factor	Factor by which all UijUik or UijUlj will be multiplied
switched.factor	Factor by which all UijUki or UijUjl will be multiplied
self.factor	Factor by which all UijUij or -UijUji will be multiplied
verbosity	The higher this value, the more levels of progress and debug information is displayed (note: in R for Windows, turn off buffered output)
Uforposandwich	Result of a function of the form of Uforposandwich.default (note this should be of class "Uforposandwich")
poset	Matrix of two columns indicating what the original observation number is for the left and right real observation in the pseudo-observation.
Zbeta	Matrix holding Z^T beta
Z	Design Matrix in the pseudo-observations.
Y	Pseudo-outcomes.
link	Name of the link function.
W	Weights to be applied to the pseudo-observations.

Details

posandwich.estimator.Uforposandwich is essentially a wrapper that translates parameters.

Uforposandwich.default is the normal function for the sandwich estimator. Uforposandwich.fakeH0 is provided to generally estimate the variance under H0 (with identity link) through the same sandwich estimator code.

Value

For posandwich.estimator(.Uforposandwich): the estimated covariance matrix.

For Uforposandwich.default/Uforposandwich.fakeH0: an object of class "Uforposandwich", holding items:

U	see the matching parameter to posandwich.estimator
U.diff	see the matching parameter to posandwich.estimator
fv	Inversely transformed Zbeta. The predicted probabilistic indicator for each pseudo-observation.
shared.factor	see the matching parameter to posandwich.estimator
switched.factor	see the matching parameter to posandwich.estimator
self.factor	see the matching parameter to posandwich.estimator

Note

There should be no reason to use posandwich.estimator outside of its usage in varianceestimator.sandwich...

See Also

varianceestimator.sandwich

pimold documentation built on May 2, 2019, 5:50 p.m.