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 |
... |
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]