covmix                package:mixreg                R Documentation

_C_a_l_c_u_l_a_t_e _t_h_e _c_o_v_a_r_i_a_n_c_e _m_a_t_r_i_x _o_f _t_h_e _p_a_r_a_m_e_t_e_r _e_s_t_i_m_a_t_e_s _f_o_r _a
_m_i_x_t_u_r_e _o_f _r_e_g_r_e_s_s_i_o_n_s.

_D_e_s_c_r_i_p_t_i_o_n:

     Produces an estimate of the covariance matrix of the parameter
     estimates for a fitted mixture of linear regressions, by inverting
     the observed Fisher information matrix.

_U_s_a_g_e:

     covmix(object, x, y)

_A_r_g_u_m_e_n_t_s:

  object: Object describing the fitted mixture of regressions, as
          returned by mixreg. 

       x: A matrix of predictors for each of the regression models in
          the mixture.  It should NOT include an initial column of 1s. 
          If there is only one predictor, x may be a vector. 

       y: The vector of responses for the regression models. 

_D_e_t_a_i_l_s:

     If different variances are allowed amongst the components, the
     parameters are taken in the order beta.1, sigsq.1, lambda.1, ...,
     beta.K, sigsq.K for a K component model - lambda.K is redundant
     and hence omitted.  If equal variances are assumed, the parameters
     are taken in the order beta.1, lambda.1, ..., beta.K, sigsq.

     In the foregoing beta refers to the linear coefficients, sigsq to
     the variance, and lambda to the mixing probability.

_V_a_l_u_e:

     The estimated covariance matrix.

_R_e_f_e_r_e_n_c_e_s:

     Turner, T. R.  (2000) Estimating the rate of spread of a viral
     infection of potato plants via mixtures of regressions.  Appl.
     Statist. vol. 49, Part 3, pp. 371 - 384.

     Louis, T. A.  Finding the observed information matrix when using
     the EM algorithm, J. R. Statist. Soc. B, vol. 44, pp. 226 - 233,
     1982.

_S_e_e _A_l_s_o:

     bootcomp, cband, mixreg, plot.cband, plot.mresid, qq.mix,
     resid.mix

_E_x_a_m_p_l_e_s:

     #See mixreg for examples.

