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CovarianceEstimatorFunction

CovarianceEstimatorFunction
is an option for generalized linear model fitting functions that specifies the estimator for the parameter covariance matrix.
  • Possible settings include and which use the expected information matrix and observed information matrix, respectively.
  • The covariance matrix is equivalent to , where is the dispersion parameter and is Fisher's information matrix.
Fit a generalized linear model:
Compute the covariance matrix using the expected information matrix:
Use the observed information matrix instead:
Fit a generalized linear model:
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Compute the covariance matrix using the expected information matrix:
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Use the observed information matrix instead:
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Specify the covariance estimate within the FittedModel:
Use with LogitModelFit:
Use with ProbitModelFit:
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:
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