The ENTROPY Procedure |
Parameter Covariance For GCE-NM |
Golan, Judge, and Miller (1996) give the finite approximation to the asymptotic variance matrix of the normed moment formulation as:
where
and
Recall that in the normed moment formulation, is the support of , which implies that is a -dimensional variance matrix. and are both diagonal matrices with the form
and
Note: This procedure is experimental.
Copyright © SAS Institute, Inc. All Rights Reserved.