Variance-Covariance Matrix in glm

July 20, 2007
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(This article was first published on Quantitative Ecology, and kindly contributed to R-bloggers)

This is a small function Venables and Ripley provide in their MASS book. You don’t need it anymore because vcov() has a method for the glm class. However, it is useful to see how to extract bits from a fitted model object.


vcov.glm<-function(obj){
#return the variance-covariance matrix of a glm object
#from p. 188 in Venables and Ripley. 2002.
#Modern Applied Statistics With S. Springer. New York.
so <- summary(obj,corr=F)
so$dispersion * so$cov.unscaled
}


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