Jackknife estimate of the variance of a parameter estimate
C = covjack(X,'T' [,arg1,....,argn])
matrix or vector.
string giving a function name.
extra parameters given to T
.
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.
X=rand(100,1,'u'); covjack(X,'mean') | ![]() | ![]() |