vcov.robpolycor {robcat}R Documentation

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 class 'robpolycor'
vcov(object, ...)

Arguments

object

Object of class "robpolycor" or "polycor".

...

Additional parameters to be passed down.

Value

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

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)


[Package robcat version 0.1.0 Index]