Computer Code

Estimation of conditional covariance matrices

Given $latex \boldsymbol{X}\in \mathbb{R}^p$ and $latex Y\in \mathbb{R}$, we estimate the $latex \mathrm{Cov}(\mathbb{E}[\boldsymbol{X}\vert Y])$ using the R software

We use two approaches to this end:

  • Taylor based estimator
git clone https://maikol_solis@bitbucket.org/maikol_solis/simulation_taylor.git
  • Kernel based estimator
git clone https://maikol_solis@bitbucket.org/maikol_solis/simulations_ksir.git

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