Cross product matrix

From: "Stephen Duffull" <sduffull@fs1.pa.man.ac.uk> Subject: Cross product matrix Date: Thu, 18 Nov 1999 11:37:59 -0000 Hi All In fear of changing the topic. I have a fairly specific question about the cross product matrix (R^(-1)SR^(-1)) used as the source of the asymptotic standard errors. The R and S matrices seem straightforward - but I do not (yet) understand the implied intricacies of the cross product matrix. Part II of the guide says "When the normality assumption is not made, the [cross product matrix] estimates the true covariance matrix". Is there a reference that someone could point me to so that I can read about this? (I have read part IV of the guide without further enlightenment.) I ask this because on occasion when the cross product matrix is not available due to difficulties in its computation then the S matrix may offer a conservative guide to the SEs (since this matrix is almost always invertible). However I need to understand the difference between the assumptions in the output of S versus R^(-1)SR^(-1) - indeed it would also help when comparing matrices gained from theoretical approaches to approximation of the information matrix with those of NONMEM. Regards Steve ===================== Stephen Duffull School of Pharmacy University of Manchester Manchester, M13 9PL, UK Ph +44 161 275 2355 Fax +44 161 275 2396