vcov.distfreereg: Calculate Covariance Matrices from 'distfreereg' Objects

In distfreereg: Distribution-Free Goodness-of-Fit Testing for Regression

Calculate Covariance Matrices from distfreereg Objects

Description

This is a vcov method for objects of class distfreereg. It calculates an estimated covariance matrix of the estimated parameters in a model from a distfreereg object.

Usage

	## S3 method for class 'distfreereg'
vcov(object, ..., jacobian_args, hessian_args)

Arguments

object	Object of class distfreereg.
...	Additional parameters passed to other methods when test_mean element of object is not of class function.
jacobian_args, hessian_args	Lists of additional arguments to pass to jacobian and hessian.

Details

When the test_mean element of object is of class function, the covariance matrix is estimated using the method described in section 5.3 of Van der Vaart (1998). Otherwise, test_mean is of a class that has its own method for vcov, which is used to calculate the output.

Value

Named numeric matrix equal to the estimated covariance matrix of the parameter estimates from object.

Warning

This calculation can be computationally intensive when the sample size is large and object$test_mean is a function.

Note

If object was created by calling distfreereg.default directly, there is no estimated parameter vector, and therefore vcov.distfreereg does not apply.

Author(s)

Jesse Miller

References

Vaart, A. W. Asymptotic statistics, 2007, Cambridge series on statistical and probabilistic mathematics, Cambridge University Press.

See Also

distfreereg, confint.distfreereg

distfreereg documentation built on April 4, 2025, 12:30 a.m.