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Stixbox >> Stixbox > Miscellaneous > covjack

covjack

Jackknife estimate of the variance of a parameter estimate

Calling Sequence

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

Parameters

X

matrix or vector.

'T'

string giving a function name.

arg1,...,argn

extra parameters given to T.

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

X=rand(100,1,'u');
covjack(X,'mean')

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