# Gradient of the GMM moment conditions on mean and variance # # Author: Francois Pelletier # # LGPL-3.0 ############################################################################### #' Gradient of the GMM moment conditions on mean and variance #' #' Derivative of the moment conditions according to the vector of parameters #' @param param GAL parameters #' @return gradient matrix #' #' @author François Pelletier mean.variance.GMM.gradient <- function(param,Data,type="mu") { if(type=="mu") { matrix(c(-1,0,-param[4],-param[3], -2*(mean(Data)-param[1]-param[3]*param[4]),-2*param[2]*param[4],2*param[4]*(mean(Data)-param[1]-param[3]*param[4])+2*param[3]*param[4],-2*param[3]*(mean(Data)-param[1]-param[3]*param[4])-param[2]^2-param[3]^2), nrow=4,ncol=2) } }