| % File src/library/stats/man/vcov.Rd |
| % Part of the R package, https://www.R-project.org |
| % Copyright 1995-2017 R Core Team |
| % Distributed under GPL 2 or later |
| |
| \name{vcov} |
| \title{Calculate Variance-Covariance Matrix for a Fitted Model Object} |
| \alias{vcov} |
| \alias{vcov.aov} |
| \alias{vcov.lm} |
| \alias{vcov.glm} |
| \alias{vcov.summary.lm} |
| \alias{vcov.summary.glm} |
| \alias{vcov.lme} |
| \alias{vcov.gls} |
| \alias{.vcov.aliased} |
| \description{ |
| Returns the variance-covariance matrix of the main parameters of |
| a fitted model object. The \dQuote{main} parameters of model |
| correspond to those returned by \code{\link{coef}}, and typically do |
| not contain a nuisance scale parameter (\code{\link{sigma}}). |
| } |
| \usage{ |
| vcov(object, \dots) |
| \S3method{vcov}{lm}(object, complete = TRUE, \dots) |
| ## and also for '[summary.]glm' and 'mlm' |
| \S3method{vcov}{aov}(object, complete = FALSE, \dots) |
| |
| .vcov.aliased(aliased, vc, complete = TRUE) |
| } |
| \arguments{ |
| \item{object}{ |
| a fitted model object, typically. Sometimes also a |
| \code{\link{summary}()} object of such a fitted model. |
| } |
| \item{complete}{for the \code{aov}, \code{lm}, \code{glm}, \code{mlm}, and where |
| applicable \code{summary.lm} etc methods: logical indicating if the |
| full variance-covariance matrix should be returned also in case of |
| an over-determined system where some coefficients are undefined and |
| \code{\link{coef}(.)} contains \code{NA}s correspondingly. When |
| \code{complete = TRUE}, \code{vcov()} is compatible with |
| \code{coef()} also in this singular case.} |
| \item{\dots}{ |
| additional arguments for method functions. For the |
| \code{\link{glm}} method this can be used to pass a |
| \code{dispersion} parameter.} |
| %% for .vcov.aliased() : |
| \item{aliased}{a \code{\link{logical}} vector typically identical to |
| \code{is.na(coef(.))} indicating which coefficients are \sQuote{aliased}.} |
| \item{vc}{a variance-covariance matrix, typically \dQuote{incomplete}, |
| i.e., with no rows and columns for aliased coefficients.} |
| } |
| \details{ |
| \code{vcov()} is a generic function and functions with names beginning |
| in \code{vcov.} will be methods for this function. |
| Classes with methods for this function include: |
| \code{lm}, \code{mlm}, \code{glm}, \code{nls}, |
| \code{summary.lm}, \code{summary.glm}, |
| \code{negbin}, \code{polr}, \code{rlm} (in package \CRANpkg{MASS}), |
| \code{multinom} (in package \CRANpkg{nnet}) |
| \code{gls}, \code{lme} (in package \CRANpkg{nlme}), |
| \code{coxph} and \code{survreg} (in package \CRANpkg{survival}). |
| |
| (\code{vcov()} methods for summary objects allow more |
| efficient and still encapsulated access when both |
| \code{summary(mod)} and \code{vcov(mod)} are needed.) |
| |
| \code{.vcov.aliased()} is an auxiliary function useful for |
| \code{vcov} method implementations which have to deal with singular |
| model fits encoded via NA coefficients: It augments a vcov--matrix |
| \code{vc} by \code{\link{NA}} rows and columns where needed, i.e., when |
| some entries of \code{aliased} are true and \code{vc} is of smaller dimension |
| than \code{length(aliased)}. |
| } |
| \value{ |
| A matrix of the estimated covariances between the parameter estimates |
| in the linear or non-linear predictor of the model. This should have |
| row and column names corresponding to the parameter names given by the |
| \code{\link{coef}} method. |
| |
| When some coefficients of the (linear) model are undetermined and |
| hence \code{NA} because of linearly dependent terms (or an |
| \dQuote{over specified} model), also called |
| \dQuote{aliased}, see \code{\link{alias}}, then since \R version 3.5.0, |
| \code{vcov()} (iff \code{complete = TRUE}, i.e., by default for |
| \code{lm} etc, but not for \code{aov}) contains corresponding rows and |
| columns of \code{NA}s, wherever \code{\link{coef}()} has always |
| contained such \code{NA}s. |
| } |
| \keyword{models} |
| \keyword{nonlinear} |