Profile.covariance {CollocInfer}

Profile.covariance

Description

Newey-West estimate of covariance of parameter estimates from profiling.

Usage

Profile.covariance(pars,active=NULL,times,data,coefs,lik,proc,
          in.meth='nlminb',control.in=NULL,eps=1e-6,GN=FALSE)

Arguments

pars

Initial values of parameters to be estimated processes.

active

Incides indicating which parameters of pars should be estimated; defaults to all of them.

times

Vector observation times for the data.

data

Matrix of observed data values.

coefs

Vector giving the current estimate of the coefficients in the spline.

lik

lik object defining the observation process.

proc

proc object defining the state process.

in.meth

Inner optimization function currently one of 'nlminb', 'MaxNR', 'optim' or 'house'. The last calls SplineEst.NewtRaph. This is fast but has poor convergence.

control.in

Control object for inner optimization functions.

eps

Step-size for finite difference estimate of second derivatives.

GN

Indicator of whether a Gauss-Newton approximation for the Hessian should be employed. Only valid for least-squares methods.

Details

Currently assumes a lag-5 auto-correlation among observation vectors.

Value

Returns a Newey-West estimate of the covariance matrix of the parameter estimates.

See Also

ProfileErr, ProfileSSE, Profile.LS, Profile.multinorm

Examples

# See example in Profile.LS