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nethet (version 1.4.2)

est2.my.ev3: Compute weights of sum-of-weighted-chi2s

Description

Compute weights of sum-of-weighted-chi2s

Usage

est2.my.ev3(sig1, sig2, sig, act1, act2, act, include.mean = FALSE)

Arguments

sig1
MLE (covariance matrix) sample 1
sig2
MLE (covariance matrix) sample 2
sig
Pooled MLE (covariance matrix)
act1
Active-set sample 1
act2
Active-set sample 2
act
Pooled active-set
include.mean
Should the mean be in cluded in the likelihood?

Value

  • Eigenvalues of M, respectively the weights.

Details

*'2nd order simplification': 1) Factor out (1-vi)^(d1+d2) "expansion in dimf>dimg direction (old terminology)" 2) Factor out (1-mu)^d0 *simplified computation of weights is obtained without further invoking H0, or assuming X_u~X_v