R: Variance-Covariance Matrix for a Fitted 'gcrq' Model

vcov.gcrq {quantregGrowth}

R Documentation

Variance-Covariance Matrix for a Fitted 'gcrq' Model

Description

Returns the variance-covariance matrix of the parameter estimates of a fitted gcrq model object.

Usage

## S3 method for class 'gcrq'
vcov(object, term, type=c("sandw","boot"), ...)

Arguments

`object`	a fitted model object of class `"gcrq"` returned by `gcrq()`.
`term`	if specified, the returned covariance matrix includes entries relevant to parameter estimates for that 'term' only. If missing, the returned matrices refer to all model parameter estimates. Currently `term` is not allowed.
`type`	Which cov matrix should be returned? `'boot'` means case-resampling bootstrap (see `n.boot` in `gcrq()`), `'sandw'` mean via the sandwich formula.
`...`	additional arguments.

Details

Bootstrap-based covariance matrix, i.e. type="boot", is computable only if the object fit has been obtained by specifying n.boot>0 in gcrq().

Value

A list (its length equal the length of tau specified in gcrq) of square matrices. Namely the list includes the covariance matrices of the parameter estimates for each regression quantile curve.

Author(s)

Vito Muggeo