rvcov_ab: Robust Variance-Covariance matrix of the parameters from a...

In abnormally-distributed/abdisttools: Random Functions for Personal Use

Description

The function rvcov() is design for providing robust standard errors for the parameters estimates of a GAMLSS fitted model. The same result can be achieved by using vcov(fitted_model,robust=TRUE). The function get.() gets the K matrix (see details below). This is a slightly modified version of the original gamlss function that performs better when the variance-covariance matrix is not positive definite by using the Moore-Penrose Pseudoinverse when the matrix is problematic. This allows robust standard errors (the sandwich estimator of the standard errors) to be obtained when they would otherwise be undefined without resorting to the less accurate default standard errors.

Usage

rvcov_ab(object, type = c("vcov", "cor", "se", "coef", "all"),
  hessian.fun = "PB")

Arguments

object	a GAMLSS fitted object
type	this argument for rvcov() function whether variance-covariance matrix, correlation matrix, standard errors or all of them
hessian.fun	How to obtain numerically the Hessian i) using optimHess(), option "R" ii) using a function by Pinheiro and Bates taken from package nlme, option "PB".

Examples

rvcov(g)

abnormally-distributed/abdisttools documentation built on May 5, 2019, 7:07 a.m.