R: The calibrated objective function ("log-likelihood")
loglik.g
R Documentation
The calibrated objective function ("log-likelihood")
Description
This function computes the objective function, its gradient and its Hessian matrix for the calibrated likelihood estimator in Tan (2010), Biometrika.
Arguments
lam
A vector of parameters ("lambda").
tr
A vector of non-missing or treatment indicators.
h
A constraint matrix.
pr
A vector of fitted propensity scores.
g
A matrix of calibration variables.
Value
value
The value of the objective function.
gradient
The gradient of the objective function.
hessian
The Hessian matrix of the objective function.
References
Tan, Z. (2006) "A distributional approach for causal inference using propensity scores," Journal of the American Statistical Association, 101, 1619-1637.
Tan, Z. (2010) "Bounded, efficient and doubly robust estimation with inverse weighting,"
Biometrika, 97, 661-682.