Is your feature request related to a problem? Please describe.
A nice addition would be to allow for computation of the covariance matrix given an estimating equation and the parameters. Essentially, go around the root-finding procedure and just use delicatessen to compute the variance.
Describe the solution you'd like
A separate function that just computes the covariance given an input estimating equation and theta values.
Describe alternatives you've considered
Run the root-finding procedure. But this is not ideal for running M-estimators within M-estimators.
pzivich
commented
5 months ago
Is your feature request related to a problem? Please describe.
A nice addition would be to allow for computation of the covariance matrix given an estimating equation and the parameters. Essentially, go around the root-finding procedure and just use
delicatessento compute the variance.Describe the solution you'd like
A separate function that just computes the covariance given an input estimating equation and theta values.
Describe alternatives you've considered
Run the root-finding procedure. But this is not ideal for running M-estimators within M-estimators.
Additional context
None