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 \href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}MASSMASS), multinom (in package \href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}nnetnnet) gls, lme (in package \href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}nlmenlme), coxph and survreg (in package \href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}survivalsurvival).

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