cov.LogConcDEAD {LogConcDEAD}

Compute the covariance matrix of a log-concave maximum likelihood estimator

Description

This function computes the covariance matrix of a log-concave maximum likelihood estimator.

Usage

cov.LogConcDEAD(lcd)

Arguments

lcd

Object of class "LogConcDEAD" (typically output from mlelcd)

Details

This function evaluates the covariance matrix of a given log-concave maximum likelihood estimator using the second order partial derivatives of the auxiliary function studied in Cule, M. L. and D\"umbgen, L. (2008).

For examples, see mlelcd.

Value

A matrix equals the covariance matrix of the log-concave maximum likelihood density estimator.

Author(s)

Yining Chen

Madeleine Cule

Robert Gramacy

Richard Samworth

References

Cule, M. L. and D\"umbgen, L. (2008) On an auxiliary function for log-density estimation, University of Bern technical report. https://arxiv.org/abs/0807.4719

See Also

hatA