R: Variance-Covariance Matrix for a Fitted Segmented Model

vcov.segmented {segmented}

R Documentation

Variance-Covariance Matrix for a Fitted Segmented Model

Description

Returns the variance-covariance matrix of the parameters (including breakpoints) of a fitted segmented model object.

Usage

## S3 method for class 'segmented'
vcov(object, var.diff = FALSE, ...)

Arguments

`object`	a fitted model object of class "segmented", returned by any `segmented` method.
`var.diff`	logical. If `var.diff=TRUE` and there is a single segmented variable, the covariance matrix is computed using a sandwich-type formula. See Details in `summary.segmented`.
`...`	additional arguments.

Details

The returned covariance matrix is based on an approximation of the nonlinear segmented term. Therefore covariances corresponding to breakpoints are reliable only in large samples and/or clear cut segmented relationships.

Value

The full matrix of the estimated covariances between the parameter estimates, including the breakpoints.

Note

var.diff=TRUE works when there is a single segmented variable.

Author(s)

Vito M. R. Muggeo, vito.muggeo@unipa.it

Examples

##continues example from summary.segmented()
# vcov(oseg)
# vcov(oseg,var.diff=TRUE)

[Package segmented version 0.5-2.1 Index]