vcov.lslx {lslx}

S3 method to extract covariance matrix of estimates from lslx

Description

vcov.lslx() is an S3 interface for extracting covariance matrix of parameter estimate from a lslx object.

Usage

## S3 method for class 'lslx'
vcov(object, selector, lambda, delta, ...)

Arguments

object

A fitted lslx object.

selector

A character to specify a selector for determining an optimal penalty level. Its value can be any one in "aic", "aic3", "caic", "bic", "abic", "hbic", or their robust counterparts "raic", "raic3", "rcaic", "rbic", "rabic", "rhbic" if raw data is available.

lambda

A numeric to specific a chosen optimal penalty level. If the specified lambda is not in lambda_grid, a nearest legitimate value will be used.

delta

A numeric to specific a chosen optimal convexity level. If the specified delta is not in delta_grid, a nearest legitimate value will be used.

...

Other arguments. For details, please see the $extracted_coefficient_acov() method in lslx.