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CovarianceEstimatorFunction

是广义线性模型拟合函数的一个选项，指定参数协方差矩阵的估计.

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范例  
基本范例  
范围  
属性和关系  
参见
历史
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CovarianceEstimatorFunction

CovarianceEstimatorFunction

是广义线性模型拟合函数的一个选项，指定参数协方差矩阵的估计.

更多信息

范例

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基本范例  (1)

拟合一个广义线性模型：

Wolfram Language code: data = {{0, 1}, {1, 1.5}, {3, 2}, {5, 10}};
Wolfram Language code: glm = GeneralizedLinearModelFit[data, x, x, ExponentialFamily -> "Gamma"]

用期望的信息矩阵计算协方差矩阵：

Wolfram Language code: glm["CovarianceMatrix"]

代之使用观测的信息矩阵计算：

Wolfram Language code: glm = GeneralizedLinearModelFit[data, x, x, ExponentialFamily -> "Gamma", CovarianceEstimatorFunction -> "ObservedInformation"]
Wolfram Language code: glm["CovarianceMatrix"]

范围  (2)

指定 FittedModel 内的协方差估计：

Wolfram Language code: data = {{0, 1}, {1, 1.5}, {3, 2}, {5, 10}};
Wolfram Language code: glm = GeneralizedLinearModelFit[data, x, x, ExponentialFamily -> "Gamma"]
Wolfram Language code: glm["CovarianceMatrix", CovarianceEstimatorFunction -> "ObservedInformation"]

用 LogitModelFit：

Wolfram Language code: data = {.15, .27, .58, .49, .77}
Wolfram Language code: logit = LogitModelFit[data, x, x]
Wolfram Language code: logit["ParameterErrors"]
Wolfram Language code: logit["ParameterErrors", CovarianceEstimatorFunction -> "ObservedInformation"]

用 ProbitModelFit：

Wolfram Language code: probit = ProbitModelFit[data, x, x]
Wolfram Language code: probit["ParameterErrors"]
Wolfram Language code: probit["ParameterErrors", CovarianceEstimatorFunction -> "ObservedInformation"]

属性和关系  (2)

涉及协方差估计的误差估计和置信区间：

Wolfram Language code: data = {{0, 1}, {1, 1.5}, {3, 2}, {5, 10}};
Wolfram Language code: glm = GeneralizedLinearModelFit[data, x, x, ExponentialFamily -> "Gamma"]

用期望信息估计误差和区间：

Wolfram Language code: glm[{"ParameterErrors", "ParameterConfidenceIntervals"}]

利用观察到的信息：

Wolfram Language code: glm[{"ParameterErrors", "ParameterConfidenceIntervals"}, CovarianceEstimatorFunction -> "ObservedInformation"]

CovarianceEstimatorFunction 控制协方差的一般结构：

Wolfram Language code: glm = GeneralizedLinearModelFit[{{0, 1}, {1, 1.5}, {3, 2}, {5, 10}}, x, x, ExponentialFamily -> "Gamma"]
Wolfram Language code: {err, disp} = glm[{"ParameterErrors", "EstimatedDispersion"}, CovarianceEstimatorFunction -> "ObservedInformation"]

DispersionEstimatorFunction 影响尺度：

Wolfram Language code: {err2, disp2} = glm[{"ParameterErrors", "EstimatedDispersion"}, CovarianceEstimatorFunction -> "ObservedInformation", DispersionEstimatorFunction -> (1&)]

误差比的平方等于离差估计之比：

Wolfram Language code: (err / err2) ^ 2
Wolfram Language code: disp / disp2
Wolfram Research (2008)，CovarianceEstimatorFunction，Wolfram 语言函数，https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.

文本

Wolfram Research (2008)，CovarianceEstimatorFunction，Wolfram 语言函数，https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.

CMS

Wolfram 语言. 2008. "CovarianceEstimatorFunction." Wolfram 语言与系统参考资料中心. Wolfram Research. https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html.

APA

Wolfram 语言. (2008). CovarianceEstimatorFunction. Wolfram 语言与系统参考资料中心. 追溯自 https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html 年

BibTeX

@misc{reference.wolfram_2026_covarianceestimatorfunction, author="Wolfram Research", title="{CovarianceEstimatorFunction}", year="2008", howpublished="\url{https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}", note=[Accessed: 11-September-2026]}

BibLaTeX

@online{reference.wolfram_2026_covarianceestimatorfunction, organization={Wolfram Research}, title={CovarianceEstimatorFunction}, year={2008}, url={https://reference.wolfram.com/language/ref/CovarianceEstimatorFunction.html}, note=[Accessed: 11-September-2026]}