X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Feconometrics-1.0.8%2Fdelta_method.m;fp=octave_packages%2Feconometrics-1.0.8%2Fdelta_method.m;h=e88ff0f10546fd7658d20aee74be12414e0dc311;hp=0000000000000000000000000000000000000000;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/econometrics-1.0.8/delta_method.m b/octave_packages/econometrics-1.0.8/delta_method.m
new file mode 100644
index 0000000..e88ff0f
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/delta_method.m
@@ -0,0 +1,23 @@
+# Copyright (C) 2003,2004  Michael Creel <michael.creel@uab.es>
+#
+# This program is free software; you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation; either version 2 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+# Computes Delta method mean and covariance of a nonlinear
+# transformation defined by "func"
+function [theta_transf, var_transf] = delta_method(func, theta, otherargs, vartheta)
+	theta_transf = feval(func, theta, otherargs);
+	D = numgradient(func, {theta, otherargs});
+	var_transf = D * vartheta * D';
+
+endfunction