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# As example we use the dataset 'attenu' from the library 'datasets'. The dataset contains
# the response variable 'accel' and two explanatory variables 'mag' and 'dist'.
library(datasets)
# Create the model matrix for the expected values
X = cbind(attenu$mag, attenu$dist)
colnames(X) = c("mag", "dist")
# Create the model matrix for the standard deviations.
X_s = cbind(attenu$mag, 1 / attenu$dist)
colnames(X_s) = c("mag", "dist_inv")
# Carry out the fit
fit = lmvar(attenu$accel, X, X_s)
# The complete covariance matrix is
vcov(fit)
# The covariance matrix for the coefficients for the expected values is
vcov(fit, sigma = FALSE)
# The covariance matrix for the coefficients for the standard deviations is
vcov(fit, mu = FALSE)
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