vcov.liu: Variance-Covariance Matrix for Fitted Liu Model

In liureg: Liu Regression with Liu Biasing Parameters and Statistics

Description

The vcov function computes the variance-covariance matrix for the estimates of linear Liu regression model Liu (1993) <doi:10.1080/03610929308831027>.

Usage

## S3 method for class 'liu'
vcov(object, ...)

Arguments

object	For VCOV method, an object of class "liu", i.e., a fitted model.
...	Not presently used in this implementation.

Details

The vcov function computes variance-covariance matrix for scalar or vector value of biasing parameter d provided as argument to liu function.

Value

A list of matrix of estimated covariances in the linear Liu regression model for scalar or vector biasing parameter dd is produced. Each list element has row and column names corresponding to the parameter names given by the coef(mod). List items are named correspond to values of biasing parameter d.

Note

Covariance will be without intercept term, as intercept term is not penalized in the Liu regression.

Author(s)

Muhammad Imdad Ullah, Muhammad Aslam

References

Imdad, M. U. (2017). Addressing Linear Regression Models with Correlated Regressors: Some Package Development in R (Doctoral Thesis, Department of Statistics, Bahauddin Zakariya University, Multan, Pakistan).

Imdadullah, M., Aslam, M., and Altaf, S. (2017). liureg: A comprehensive R Package for the Liu Estimation of Linear Regression Model with Collinear Regressors. The R Journal, 9 (2), 232–247.

Kaciranlar, S., Sakalhoglu, S., Akdeniz, F., Styan, G., and Werner, H. (1999). A new Biased Estimator in Linear Regression and a Detailed Analysis of the Widely Analysed Dataset on Portland Cement. Sankhya: The Indian Journal of Statistics, Series B, 61 (B3), 443–459.

See Also

The Liu model fitting liu, Liu summary statistics summary.liu, Liu prediction predict, Liu PRESS values press, Liu residual residuals

Examples

data(Hald)
mod<- liu(y~., data = as.data.frame(Hald), scaling = "centered", d = seq(-2, 2, 0.1) )

vcov(mod)

liureg documentation built on May 2, 2019, 8:34 a.m.