varjmcm (version 0.1.1)

covjmcm_mcd: Calculate the estimation of the covariance of estimated parameters in a MCD model, via the explicit formula.

Description

covjmcm_mcd gives an estimation of the covariance of estimated parameters in a MCD model using the explicit formula, which is the inverse of the estimated Fisher's information matrix.

Usage

covjmcm_mcd(object)

Arguments

object

a fitted joint mean-covariance model of class "jmcmMod", returned by the function jmcm.

Value

an estimated covariance matrix of the estimated parameters in a MCD model.

References

[1] Pourahmadi, M., "Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix," Biometrika 87(2), 425<U+2013>435 (2000).

See Also

covjmcm, covjmcm_acd, and covjmcm_hpc

Examples

# NOT RUN {
cattleA <- cattle[cattle$group=='A', ]
fit.mcd <- jmcm(weight|id|I(ceiling(day/14+1))~1|1,
               data = cattleA, cov.method = "mcd",
               triple = c(8,3,4))
cov.mcd <- covjmcm_mcd(fit.mcd)
# }