quadDeriv {logcondens} | R Documentation |
Gradient and Diagonal of Hesse Matrix of Quadratic Approximation to Log-Likelihood Function L
Description
Computes gradient and diagonal of the Hesse matrix w.r.t. to \eta
of a quadratic approximation to the
reparametrized original log-likelihood function
L(\phi) = \sum_{i=1}^m w_i \phi(x_i) - \int_{-\infty}^{\infty} \exp(\phi(t)) dt.
where L
is parametrized via
{\bold{\eta}}({\bold{\phi}}) = \Bigl(\phi_1, \Bigl(\eta_1+ \sum_{j=2}^i (x_i-x_{i-1})\eta_i\Bigr)_{i=2}^m\Bigr).
{\bold{\phi}}
: vector (\phi(x_i))_{i=1}^m
representing concave, piecewise linear function \phi
,
{\bold{\eta}}
: vector representing successive slopes of \phi.
Usage
quadDeriv(dx, w, eta)
Arguments
dx |
Vector |
w |
Vector of weights as in |
eta |
Vector |
Value
m \times 2
matrix. First column contains gradient and second column diagonal of Hesse matrix.
Note
This function is not intended to be invoked by the end user.
Author(s)
Kaspar Rufibach, kaspar.rufibach@gmail.com,
http://www.kasparrufibach.ch
Lutz Duembgen, duembgen@stat.unibe.ch,
https://www.imsv.unibe.ch/about_us/staff/prof_dr_duembgen_lutz/index_eng.html
See Also
quadDeriv
is used by the function icmaLogCon
.