mdw (version 2024.8-1)

asym.v.e: Asymptotic variance for maximum entropy weights

Description

asym.v.e produces estimated asymptotic covariance matrix of the first p-1 maximum entropy weights (because the p weights sum to 1).

Usage

asym.v.e(X, w, h)

Arguments

X

n by p maxtrix containing observations of p biomarkers of n subjects.

w

maximum entropy weights for dateset X with bandwidth h used

h

bandwidth for kernel density estimation.

Examples

library(MASS)
# a three biomarkers dataset generated from independent normal(0,1)
X = mvrnorm(n = 100, mu=rep(0,3), Sigma=diag(3), tol = 1e-6, empirical = FALSE, EISPACK = FALSE)
h = 1
w <- entropy.weight(X,h)
asym.v.e(X,w,h)