mgcv (version 1.9-5)

vcov.gam: Extract parameter (estimator) covariance matrix from GAM fit

Description

Extracts the Bayesian posterior covariance matrix of the parameters or frequentist covariance matrix of the parameter estimators from a fitted gam object.

Usage

# S3 method for gam
vcov(object, sandwich=FALSE, freq = FALSE, dispersion = NULL,unconditional=FALSE, ...)

Value

A matrix corresponding to the estimated frequentist covariance matrix of the model parameter estimators/coefficients, or the estimated posterior covariance matrix of the parameters, depending on the argument freq.

Details

Basically, just extracts object$Ve, object$Vp or object$Vc (if available) from a gamObject, unless sandwich==TRUE in which case the sandwich estimate is computed (with or without the squared bias component).

References

Wood, S.N. (2017) Generalized Additive Models: An Introductio with R (2nd ed) CRC Press

See Also

gam

Examples

require(mgcv)
n <- 100
x <- runif(n)
y <- sin(x*2*pi) + rnorm(n)*.2
mod <- gam(y~s(x,bs="cc",k=10),knots=list(x=seq(0,1,length=10)))
diag(vcov(mod))