1 ## Copyright (C) 2003,2004,2005 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 ## usage: [V,scorecontribs,J_inv] =
17 ## mle_variance(theta, data, model, modelargs)
19 ## This is for internal use by mle_results
21 # sandwich form of var-cov matrix
22 function [V, scorecontribs, J_inv] = mle_variance(theta, data, model, modelargs)
23 scorecontribs = numgradient(model, {theta, data, modelargs});
24 n = rows(scorecontribs);
25 I = scorecontribs'*scorecontribs / n;
26 J = numhessian("mle_obj", {theta, data, model, modelargs});