deltaMethod.Rd
Computes the variance of a nonlinear parameter using the delta method.
deltaMethod(derived.pars, est, Sigma, h=1e-05)
derived.pars | Vector of derived parameters written in R formula framework (see Examples). |
---|---|
est | Vector of parameter estimates |
Sigma | Covariance matrix of parameters |
h | Numerical differentiation parameter |
Vector of nonlinear parameters
Covariance matrix of nonlinear parameters
Vector of standard errors
First derivative of nonlinear transformation
Data frame containing univariate summary of nonlinear parameters
Multivariate parameter test for nonlinear parameter
See car::deltaMethod
or msm::deltamethod
.
############################################################################# # EXAMPLE 1: Nonlinear parameter ############################################################################# #-- parameter estimate est <- c( 510.67, 102.57) names(est) <- c("mu", "sigma") #-- covariance matrix Sigma <- matrix( c(5.83, 0.45, 0.45, 3.21 ), nrow=2, ncol=2 ) colnames(Sigma) <- rownames(Sigma) <- names(est) #-- define derived nonlinear parameters derived.pars <- list( "d"=~ I( ( mu - 508 ) / sigma ), "dsig"=~ I( sigma / 100 - 1) ) #*** apply delta method res <- CDM::deltaMethod( derived.pars, est, Sigma ) res