Extract smoothing parameter estimator covariance matrix from (RE)ML GAM fit

Description

Extracts the estimated covariance matrix for the log smoothing parameter estimates from a (RE)ML estimated gam object, provided the fit was with a method that evaluated the required Hessian.

Usage

sp.vcov(x)

Arguments

Details

Just extracts the inverse of the hessian matrix of the negative (restricted) log likelihood w.r.t the log smoothing parameters, if this has been obtained as part of fitting.

Value

A matrix corresponding to the estimated covariance matrix of the log smoothing parameter estimators, if this can be extracted, otherwise NULL. If the scale parameter has been (RE)ML estimated (i.e. if the method was "ML" or "REML" and the scale parameter was unknown) then the last row and column relate to the log scale parameter.

Author(s)

Simon N. Wood simon.wood@r-project.org

References

Wood, S.N. (2006) On confidence intervals for generalized additive models based on penalized regression splines. Australian and New Zealand Journal of Statistics. 48(4): 445-464.

See Also

gam, gam.vcomp

Examples

 
require(mgcv)
n <- 100
x <- runif(n);z <- runif(n)
y <- sin(x*2*pi) + rnorm(n)*.2
mod <- gam(y~s(x,bs="cc",k=10)+s(z),knots=list(x=seq(0,1,length=10)),
           method="REML")
sp.vcov(mod)