cov.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)
Value
A matrix equals the covariance matrix of the
log-concave maximum likelihood density estimator.
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).
Cule, M. L. and D"umbgen, L. (2008) On an auxiliary function for
log-density estimation, University of Bern technical report. http://arxiv.org/abs/0807.4719