LogConcDEAD (version 1.6-9)

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)

Value

A matrix equals the covariance matrix of the log-concave maximum likelihood density estimator.

Arguments

lcd

Object of class "LogConcDEAD" (typically output from mlelcd)

Author

Yining Chen

Madeleine Cule

Robert Gramacy

Richard Samworth

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).

For examples, see mlelcd.

References

Cule, M. L. and D\"umbgen, L. (2008) On an auxiliary function for log-density estimation, University of Bern technical report. https://arxiv.org/abs/0807.4719

See Also

hatA