Variance-Covariance Matrix for a Fitted Segmented Model

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, is = FALSE, ...)

Arguments

object: a fitted model object of class "segmented", returned by any segmented method or segreg.
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.
is: logical. If TRUE, the asymptotic covariance matrix based on the idea of induced smoothing is returned. If is=TRUE, var.diff=FALSE is set. is=TRUE only works with segmented (g)lm fits.
...: 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. If is=TRUE, the returned covariance matrix depends on the design matrix having the term \(I(x>\psi)\) replaced by its smooth counterpart.

Value

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

Author

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

Note

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

Examples

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