covjmcm_mcd {varjmcm} | R Documentation |
Calculate the estimation of the covariance of estimated parameters in a MCD model, via the explicit formula.
Description
covjmcm_mcd
gives an estimation of the covariance of estimated parameters in a MCD model using
the explicit formula, which is the inverse of the estimated Fisher's information matrix.
Usage
covjmcm_mcd(object)
Arguments
object |
a fitted joint mean-covariance model of class "jmcmMod", returned by the function |
Value
an estimated covariance matrix of the estimated parameters in a MCD model.
References
[1] Pourahmadi, M., "Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix," Biometrika 87(2), 425–435 (2000).
See Also
covjmcm
, covjmcm_acd
, and covjmcm_hpc
Examples
cattleA <- cattle[cattle$group=='A', ]
fit.mcd <- jmcm(weight|id|I(ceiling(day/14+1))~1|1,
data = cattleA, cov.method = "mcd",
triple = c(8,3,4))
cov.mcd <- covjmcm_mcd(fit.mcd)
[Package varjmcm version 0.1.1 Index]