Obtaining the variance-covariance matrix

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Ahmed Abdulla
Ahmed Abdulla 2020년 6월 4일
댓글: Star Strider 2020년 6월 4일
i wanted to ask if by doing the result will be equal to E as in the equation shown

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Star Strider
Star Strider 2020년 6월 4일
That appears to me to be the covariance matrix of the parameters of the linear regression, so in a word, No. The cov function will not do what you want in that situation.
If you have the Statistics and Machine Learning Toolbox, use the LinearModel (specifically: fitlm) to return the CoefficientCovariance matrix for you. It will also do all the necessary calculations to estimate the confidence intervals on the parameters, so there is no need for you to code them separately.
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Ahmed Abdulla
Ahmed Abdulla 2020년 6월 4일
i might be asking for much here, but do you know a way to find the Bonferroni confidence interval for the Regression Coefficients. If not thanks anyways!
Star Strider
Star Strider 2020년 6월 4일
Away for a while. My apologies for the delay.
The only thing I was able to find is Bonferroni Confidence Intervals. I hadn’t heard of them previously. It seems that this would be straightforward to program. I’m not aware of any existing MATLAB function to do so.

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