CovUpdate function

Covariate Update

CovUpdate(data_part, b0, a0, b1, a1, sigma0)

Arguments

• data_part: List of partitioned data. See PartitionData.
• b0: Previous target regression coefficient.
• a0: Previous surrogate regression coefficient.
• b1: Current target regression coefficient.
• a1: Current surrogate regression coefficient.
• sigma0: Initial target-surrogate covariance matrix.

Returns

ECM update of the target-surrogate covariance matrix.