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stats (version 3.3)

vcov: Calculate Variance-Covariance Matrix for a Fitted Model Object

Description

Returns the variance-covariance matrix of the main parameters of a fitted model object.

Usage

vcov(object, ...)

Arguments

object
a fitted model object, typically. Sometimes also a summary() object of such a fitted model.
...
additional arguments for method functions. For the glm method this can be used to pass a dispersion parameter.

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 coef method.

Details

This is a generic function. Functions with names beginning in vcov. will be methods for this function. Classes with methods for this function include: lm, mlm, glm, nls, summary.lm, summary.glm, negbin, polr, rlm (in package MASS), multinom (in package nnet) gls, lme (in package nlme), coxph and survreg (in package survival).

(vcov() methods for summary objects allow more efficient and still encapsulated access when both summary(mod) and vcov(mod) are needed.)