[R] How to find the variance-covariance matrix of a random-vector using R
Sun, John
j@un20 @end|ng |rom @|b@ny@edu
Mon Sep 19 20:58:47 CEST 2022
Dear All,
Reposting as plain text rather than html.
I realized that R does not support finding the variance-covariance matrix of a random-vector. It must take two arguments. Numpy's cov doesn't give sensible results.
I ask in a bigger context of finding the variance-covariance matrix of the vector of the dependent variables per subject which is the covariance form of the working-correlation matrix in GEE by Liang-Zeger (1986). Knowing it gives me better inference via efficiency improvement.
I have not received a reply on these posts, so I ask.
https://stats.stackexchange.com/questions/589022/how-to-find-covy-i-using-software-in-the-context-sum-i-1-mathrmk
https://stackoverflow.com/questions/73755242/is-there-a-r-function-or-python-for-finding-the-covariance-matrix-of-a-random-ve
Best regards,
Kpjm
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