Utility to compute analytical Jacobian of random coefficient matrix transformed by vech (dVech(Sigma) / dTheta)
Usage
jacobian_vech_Sigma(L_params, K_w, rc_correlation = TRUE)
Arguments
- L_params
flattened choleski decomposition version of the random coefficient parameters matrix
- K_w
dimension of the random coefficient parameter (symmetric) matrix
- rc_correlation
whether random coefficients are correlated
Value
Jacobian (dVech(Sigma) / dTheta)
Examples
L_params <- c(log(0.8), 0.2, log(0.6))
J_mat <- choicer:::jacobian_vech_Sigma(L_params, K_w = 2, rc_correlation = TRUE)
dim(J_mat) # 3 x 3 for K_w=2 correlated
#> [1] 3 3