Stixbox Function

covjack - Jackknife estimate of the variance of a parameter estimate

Calling Sequence

C = covjack(X,'T' [,arg1,....,argn])

Parameters

Description

The function computes T(X) with one observation removed at a time and uses the result to compute an estimate of the variance of T(X) assuming that X is a representative sample from the underlying distribution of X. If T is multidimensional then the covariance matrix is estimated. Note that the jackknife method does not work for some functions T that are not smooth enough, the median being one example.

EXAMPLES