Compute ADCC Standard Errors with Robust Edge Case Handling — compute_adcc_standard_errors_robust • tsbs

High-level wrapper for ADCC SE computation with validation and edge case handling (boundary estimates, near-singular Hessians).

Usage

compute_adcc_standard_errors_robust(
  adcc_result,
  z_matrix,
  weights,
  Qbar,
  copula_dist = "mvn",
  boundary_threshold = 1e-04,
  method = c("hessian", "sandwich")
)

Arguments

adcc_result: Result from estimate_adcc_copula() or similar
z_matrix: T x k matrix of copula residuals
weights: T-vector of observation weights
Qbar: k x k unconditional correlation matrix
copula_dist: "mvn" or "mvt"
boundary_threshold: Threshold for boundary detection (default 1e-4)
method: "hessian" or "sandwich"

Value

List with SE results and validity information