# CovarianceEstimatorFunction

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

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## Basic 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:

Wolfram Research (2008), CovarianceEstimatorFunction, Wolfram Language function, https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.

#### 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_2024_covarianceestimatorfunction, author="Wolfram Research", title="{CovarianceEstimatorFunction}", year="2008", howpublished="\url{https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}", note=[Accessed: 20-July-2024 ]}

#### BibLaTeX

@online{reference.wolfram_2024_covarianceestimatorfunction, organization={Wolfram Research}, title={CovarianceEstimatorFunction}, year={2008}, url={https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}, note=[Accessed: 20-July-2024 ]}