[R] lm() variance covariance matrix of coefficients.

[Rolf Turner]

Peter Dalgaard wrote:

> Rolf Turner <rolf at erdos.math.unb.ca> writes:
> 
> > summary(object)$cov.unscaled
> 
> You need to multiply that with sigma. However, vcov(object) is easier. 

	Well, I thought unscaled meant unscaled --- the plain
	unvarnished covariance matrix!  I figure that multiplying
	the *covariance* matrix by something would be scaling
	it.  Silly me.

	Also:

	(a) Shouldn't that be ``multiply by sigma^2'' rather
	than by sigma?

	(b) Wouldn't it be helpful to have a pointer (``see also'')
	to vcov() in the help on summary.lm()?

				cheers,

					Rolf Turner
					rolf at math.unb.ca