robcat (version 0.1.0)

vcov.robpolycor: Obtain estimated asymptotic variance-covariance matrix

Description

Method for classes "robpolycor" and "polycor". Returns the estimated asymptotic variance-covariance matrix of a point estimate theahat. The matrix \(\Sigma\) in the paper (asymptotic variance-covariance matrix of \(\sqrt{N} \hat{\theta}\)) can be obtained via multiplying the returned matrix by the sample size.

Usage

# S3 method for robpolycor
vcov(object, ...)

Value

A numeric matrix, being the estimated asymptotic covariance matrix for the model parameters

Arguments

object

Object of class "robpolycor" or "polycor".

...

Additional parameters to be passed down.

Examples

set.seed(123)
x <- sample(c(1,2,3), size = 100, replace = TRUE)
y <- sample(c(1,2,3), size = 100, replace = TRUE)
fit <- polycor(x,y) 

vcov(fit)