CovarianceEstimatorFunction
is an option for generalized linear model fitting functions that specifies the estimator for the parameter covariance matrix.
Details
- CovarianceEstimatorFunction is an option for GeneralizedLinearModelFit , LogitModelFit , and ProbitModelFit .
- Possible settings include "ExpectedInformation" and "ObservedInformation" which use the expected information matrix and observed information matrix, respectively.
- The covariance matrix is equivalent to , where ϕ is the dispersion parameter and is Fisher's information matrix.
Examples
open allclose allBasic Examples (1)
Fit a generalized linear model:
Compute the covariance matrix using the expected information matrix:
Use the observed information matrix instead:
Scope (2)
Specify the covariance estimate within the FittedModel :
Use with LogitModelFit :
Use with ProbitModelFit :
Properties & Relations (2)
Error estimates and confidence intervals involve covariance estimates:
Estimate errors and intervals using expected information:
Use observed information:
CovarianceEstimatorFunction controls the general structure of the covariance:
DispersionEstimatorFunction affects the scale:
The ratio of the errors squared is the ratio of the dispersion estimates:
History
Text
Wolfram Research (2008), CovarianceEstimatorFunction, Wolfram Language function, https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.
CMS
Wolfram Language. 2008. "CovarianceEstimatorFunction." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.
APA
Wolfram Language. (2008). CovarianceEstimatorFunction. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html
BibTeX
@misc{reference.wolfram_2025_covarianceestimatorfunction, author="Wolfram Research", title="{CovarianceEstimatorFunction}", year="2008", howpublished="\url{https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}", note=[Accessed: 16-April-2025 ]}
BibLaTeX
@online{reference.wolfram_2025_covarianceestimatorfunction, organization={Wolfram Research}, title={CovarianceEstimatorFunction}, year={2008}, url={https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}, note=[Accessed: 16-April-2025 ]}