Jackknife variance estimator for time series glms
Usage
lele.glm(glm.obj, times, lag)
Arguments
glm.obj
|
Generalised linear model object
|
times
|
vector of times at which response was observed
|
lag
|
Correlation lag
|
Description
Estimates the covariance matrix for the generalised linear model using Lele's time series jackknife. This is strictly valid when the correlation is only non-zero for finitely many lags, but works provided the correlation is approximately zero beyond the specified lag.Value
covariance matrixAuthor(s)
Thomas LumleyReferences
Lele (1991) "Jackknifing Linear Estimating Equations: Asymptotic Theory and Applications in Stochastic Processes" JRSSB 53:253𤫻See Also
jack.glm
,weave.trunc
Examples