Vcov: Fast Covariance Matrix and Standard Error Computation

In vcov: Variance-Covariance Matrices and Standard Errors

Description

Skip wasted object summary steps computed by base R when computing covariance matrices and standard errors of common model objects.

Usage

  Vcov(object, ...)

  ## S3 method for class 'lm'
Vcov(object, ...)

  ## S3 method for class 'glm'
Vcov(object, dispersion = NULL, ...)
  
  se(object, ...)

Arguments

object	A fitted model object.
...	Additional arguments for method functions. For the glm method this can be used to pass a dispersion parameter.
dispersion	The dispersion parameter for the family used. Either a single numerical value or NULL (the default), in which case it is inferred from obj. For details, see summary.glm.

See Also

summary.glm

Examples

  # data taken from ?lm
  ctl = c(4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14)
  trt = c(4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69)
  group = gl(2, 10, 20, labels = c("Ctl","Trt"))
  weight = c(ctl, trt)
  reg_lm = lm(weight ~ group)
  Vcov(reg_lm)
  se(reg_lm)

  # data taken from ?glm
  counts = c(18,17,15,20,10,20,25,13,12)
  outcome = gl(3,1,9)
  treatment = gl(3,3)
  reg_glm = glm(counts ~ outcome + treatment, family = poisson)
  Vcov(reg_glm)
  se(reg_glm)

Example output

            (Intercept)    groupTrt
(Intercept)  0.04849583 -0.04849583
groupTrt    -0.04849583  0.09699167
(Intercept)    groupTrt 
  0.2202177   0.3114349 
            (Intercept)      outcome2      outcome3    treatment2    treatment3
(Intercept)  0.02920635 -1.587302e-02 -1.587302e-02 -2.000000e-02 -2.000000e-02
outcome2    -0.01587302  4.087301e-02  1.587302e-02 -9.352656e-18 -9.264149e-18
outcome3    -0.01587302  1.587302e-02  3.714961e-02 -9.415427e-18 -1.112732e-17
treatment2  -0.02000000 -9.352656e-18 -9.415427e-18  4.000000e-02  2.000000e-02
treatment3  -0.02000000 -9.264149e-18 -1.112732e-17  2.000000e-02  4.000000e-02
(Intercept)    outcome2    outcome3  treatment2  treatment3 
  0.1708987   0.2021708   0.1927423   0.2000000   0.2000000 

vcov documentation built on May 2, 2019, 3:33 p.m.