cov.dcml {RobStatTM}

Approximate covariance matrix of the DCML regression estimator.

Description

The estimated covariance matrix of the DCML regression estimator. This function is used internally and not meant to be used directly.

Usage

cov.dcml(res.LS, res.R, CC, sig.R, t0, p, n, control)

Arguments

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 lmrobdet.control

Value

The covariance matrix estimate.

Author(s)

Victor Yohai, [e-mail]