[R] Variance-covariance matrix from GLM

[Bill.Venables at csiro.au]

?vcov  ### now in the stats package

You would use

V <- vcov(my.glm)

 

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Bojuan Zhao
Sent: Thursday, 29 July 2010 9:52 AM
To: r-help at r-project.org
Subject: [R] Variance-covariance matrix from GLM

Hello, 

Is there a way to obtain the variance-covariance matrix of the estimated parameters from GLM? 

my.glm<-glm(mat ~X,family = binomial, data =myDATA)
out1<-predict(my.glm,se.fit = TRUE)
std<-out1$se.fit

se.fit is for getting the standard errors of the estimated parameters (\betas). Is there a way to get the variance-covariance matrix of the estimated parameters? 

Many thanks, 

Barbara

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