Variance-Covariance Matrix for a Fitted Segmented Model
Returns the variance-covariance matrix of the parameters (including breakpoints) of a fitted segmented model object.
## S3 method for class 'segmented' vcov(object, var.diff = FALSE, is = FALSE, ...)
object |
a fitted model object of class "segmented", returned by any |
var.diff |
logical. If |
is |
logical. If |
... |
additional arguments. |
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. If is=TRUE, the returned covariance matrix depends on the design matrix having the term I(x>psi) replaced by its smooth counterpart.
The full matrix of the estimated covariances between the parameter estimates, including the breakpoints.
var.diff=TRUE works when there is a single segmented variable.
Vito M. R. Muggeo, vito.muggeo@unipa.it
##continues example from summary.segmented() # vcov(oseg) # vcov(oseg, var.diff=TRUE) # vcov(oseg, is=TRUE)
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