is an option for generalized linear model fitting functions that specifies the estimator for the parameter covariance matrix.
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 all close 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: 24-November-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: 24-November-2025]}