1 # Copyright (C) 2003,2004 Michael Creel <michael.creel@uab.es>
3 # This program is free software; you can redistribute it and/or modify
4 # it under the terms of the GNU General Public License as published by
5 # the Free Software Foundation; either version 2 of the License, or
6 # (at your option) any later version.
8 # This program is distributed in the hope that it will be useful,
9 # but WITHOUT ANY WARRANTY; without even the implied warranty of
10 # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
11 # GNU General Public License for more details.
13 # You should have received a copy of the GNU General Public License
14 # along with this program; If not, see <http://www.gnu.org/licenses/>.
16 # Computes Delta method mean and covariance of a nonlinear
17 # transformation defined by "func"
18 function [theta_transf, var_transf] = delta_method(func, theta, otherargs, vartheta)
19 theta_transf = feval(func, theta, otherargs);
20 D = numgradient(func, {theta, otherargs});
21 var_transf = D * vartheta * D';