Extract parameter (estimator) covariance matrix from GAM fit

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

# 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

Henric Nilsson. Maintained by Simon N. Wood simon.wood@r-project.org

References

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

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))
#> (Intercept)      s(x).1      s(x).2      s(x).3      s(x).4      s(x).5 
#> 0.000417557 0.003943883 0.004927974 0.003582308 0.004079923 0.003016437 
#>      s(x).6      s(x).7      s(x).8 
#> 0.003758695 0.003595161 0.003113030