Variance-covariance matrix of the regression coefficients

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Description

This function returns the variance-covariance matrix of PLS regression coefficients.

Usage

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

Arguments

object

an object of class mypls that is returned by the function jack.ppls. Objects of the class mypls require a slot coefficients and a slot covariance.

...

additional parameters

Details

The function returns the variance-covariance matrix for the model parameters assigned to jack.ppls. Together with the regression coefficients returned by coef.mypls, it is possible to construct confidence intercals or tests.

Value

variance-covariance matrix

Author(s)

Nicole Kraemer

See Also

jack.ppls, penalized.pls.cv

Examples

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n<-50 # number of observations
p<-5 # number of variables
X<-matrix(rnorm(n*p),ncol=p)
y<-rnorm(n)


pls.object<-penalized.pls.cv(X,y)
my.jack<-jack.ppls(pls.object)
myvcov<-vcov(my.jack)