Variance-covariance matrix
This function returns the variance-covariance matrix of a plsdof-object.
## S3 method for class 'plsdof' vcov(object, ...)
object |
an object of class "plsdof" that is returned by the function
|
... |
additional parameters |
The function returns the variance-covariance matrix for the optimal number
of components. It can be applied to objects returned by pls.ic and
pls.cv.
variance-covariance matrix
Nicole Kraemer
Kraemer, N., Sugiyama M. (2011). "The Degrees of Freedom of Partial Least Squares Regression". Journal of the American Statistical Association 106 (494) https://www.tandfonline.com/doi/abs/10.1198/jasa.2011.tm10107
Kraemer, N., Sugiyama M., Braun, M.L. (2009) "Lanczos Approximations for the Speedup of Kernel Partial Least Squares Regression." Proceedings of the Twelfth International Conference on Artificial Intelligence and Statistics (AISTATS), p. 272-279
n<-50 # number of observations p<-5 # number of variables X<-matrix(rnorm(n*p),ncol=p) y<-rnorm(n) pls.object<-pls.ic(X,y,m=5,criterion="bic") my.vcov<-vcov(pls.object) my.sd<-sqrt(diag(my.vcov)) # standard deviation of regression coefficients
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