vcov.gam: Extract parameter (estimator) covariance matrix from GAM fit

In mgcv: Mixed GAM Computation Vehicle with Automatic Smoothness Estimation

Extract parameter (estimator) covariance matrix from GAM fit

Description

Extracts the Bayesian posterior covariance matrix of the parameters or frequentist covariance matrix of the parameter estimators from a fitted gam object.

Usage

## S3 method for class 'gam'
vcov(object, sandwich=FALSE, freq = FALSE, dispersion = NULL,unconditional=FALSE, ...)

Arguments

object	fitted model object of class gam as produced by gam().
sandwich	compute sandwich estimate of covariance matrix. Currently expensive for discrete bam fits.
freq	TRUE to return the frequentist covariance matrix of the parameter estimators, FALSE to return the Bayesian posterior covariance matrix of the parameters. The latter option includes the expected squared bias according to the Bayesian smoothing prior.
dispersion	a value for the dispersion parameter: not normally used.
unconditional	if TRUE (and freq==FALSE) then the Bayesian smoothing parameter uncertainty corrected covariance matrix is returned, if available.
...	other arguments, currently ignored.

Details

Basically, just extracts object$Ve, object$Vp or object$Vc (if available) from a gamObject, unless sandwich==TRUE in which case the sandwich estimate is computed (with or without the squared bias component).

Value

A matrix corresponding to the estimated frequentist covariance matrix of the model parameter estimators/coefficients, or the estimated posterior covariance matrix of the parameters, depending on the argument freq.

Author(s)

Henric Nilsson. Maintained by Simon N. Wood [e-mail]

References

Wood, S.N. (2017) Generalized Additive Models: An Introductio with R (2nd ed) CRC Press

See Also

gam

Examples

 
require(mgcv)
n <- 100
x <- runif(n)
y <- sin(x*2*pi) + rnorm(n)*.2
mod <- gam(y~s(x,bs="cc",k=10),knots=list(x=seq(0,1,length=10)))
diag(vcov(mod))

mgcv documentation built on April 11, 2025, 6:11 p.m.