var.estimate {yest}R Documentation

Estimation of a Variance Matrix

Usage

var.estimate(data=NA,inv=TRUE,tol = 1e-06,nb.trials=10,trim=0.1)

Arguments

data dataset
inv whether variance (inv=FALSE) or inverse variance (inv=TRUE) matrix should be estimated
tol tolerance for numerical lack of positive-definiteness
nb.trials how many starting values should be tried in optimization
trim trimming constant used for averaging

Details

Considers all groups of four variables and estimates variance matrix for each group by BIC model selection process.

Value

A list of a variance and inverse variance matrix.

See Also

model.selection


[Package yest version 0.4-1 Index]