hatA: Compute the smoothing matrix of the smoothed log-concave maximum likelihood estimator
Description
This function computes the matrix $\hat{A}$ of the smoothed log-concave maximum
likelihood estimatorArguments
lcd
Object of class "LogConcDEAD" (typically output from
mlelcd) Value
- A
matrix equals $\hat{A}$ of the smoothed log-concave maximum
likelihood estimator
Details
This function evaluates the the matrix $\hat{A}$ of the smoothed log-concave maximum
likelihood estimator, which is positive definite, and equals the difference between the
sample covariance matrix and the covariance matrix of the fitted log-concave maximum
likelihood density estimator. For examples, see mlelcd
References
Chen, Y. and Samworth, R. J. (2012),
Smoothed log-concave maximum likelihood estimation with applications
Submitted. http://arxiv.org/abs/1102.1191v4