Description Usage Arguments Details Value Author(s) References
robVcov
and robustVcov
calculates the asymptotic variance for Z-estimators.
1 2 | robustVcov(U, d.U.sum, id = NULL)
robVcov(U, d.U, id = NULL)
|
U |
A n x q matrix of the estimating equations evaluated at the estimated model parameters, where n is the number of observations and q is the number of estimating equations. |
d.U.sum |
The sum of the jacobian of |
d.U |
The mean of |
id |
A factor with levels corresponding the clusters in the data. Default
is |
For robust variance estimation, see van der Vaart (2000).
For clustered data, the rows in U
are added clusterwise
resulting in a cluster robust estimate of the variance.
The estimated covariance matrix.
Johan Zetterqvist, Arvid Sjölander
van der Vaart, A.W. (2000), Asymptotic Statistics, Cambridge University Press, pp. 52–53.
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