Extract variance-covariance matrix from a choicer_mnp object
Source:R/methods.R
vcov.choicer_mnp.RdReturns the posterior covariance matrix of the identified coefficient draws (computed eagerly at fit time; no Hessian is involved).
Usage
# S3 method for class 'choicer_mnp'
vcov(object, ...)Examples
# \donttest{
library(data.table)
set.seed(42)
N <- 100; J <- 3
dt <- data.table(id = rep(1:N, each = J), alt = rep(1:J, N))
dt[, `:=`(x1 = rnorm(.N), x2 = rnorm(.N))]
#> id alt x1 x2
#> <int> <int> <num> <num>
#> 1: 1 1 1.37095845 -0.004620768
#> 2: 1 2 -0.56469817 0.760242168
#> 3: 1 3 0.36312841 0.038990913
#> 4: 2 1 0.63286260 0.735072142
#> 5: 2 2 0.40426832 -0.146472627
#> ---
#> 296: 99 2 -0.47733551 0.160327395
#> 297: 99 3 -0.16626149 -0.433641942
#> 298: 100 1 0.86256338 1.537412419
#> 299: 100 2 0.09734049 -2.170246577
#> 300: 100 3 -1.62561674 1.027004619
dt[, choice := 0L]
#> id alt x1 x2 choice
#> <int> <int> <num> <num> <int>
#> 1: 1 1 1.37095845 -0.004620768 0
#> 2: 1 2 -0.56469817 0.760242168 0
#> 3: 1 3 0.36312841 0.038990913 0
#> 4: 2 1 0.63286260 0.735072142 0
#> 5: 2 2 0.40426832 -0.146472627 0
#> ---
#> 296: 99 2 -0.47733551 0.160327395 0
#> 297: 99 3 -0.16626149 -0.433641942 0
#> 298: 100 1 0.86256338 1.537412419 0
#> 299: 100 2 0.09734049 -2.170246577 0
#> 300: 100 3 -1.62561674 1.027004619 0
dt[, choice := sample(c(1L, rep(0L, J - 1))), by = id]
#> id alt x1 x2 choice
#> <int> <int> <num> <num> <int>
#> 1: 1 1 1.37095845 -0.004620768 0
#> 2: 1 2 -0.56469817 0.760242168 0
#> 3: 1 3 0.36312841 0.038990913 1
#> 4: 2 1 0.63286260 0.735072142 0
#> 5: 2 2 0.40426832 -0.146472627 1
#> ---
#> 296: 99 2 -0.47733551 0.160327395 0
#> 297: 99 3 -0.16626149 -0.433641942 0
#> 298: 100 1 0.86256338 1.537412419 0
#> 299: 100 2 0.09734049 -2.170246577 0
#> 300: 100 3 -1.62561674 1.027004619 1
fit <- run_mnprobit(dt, "id", "alt", "choice", c("x1", "x2"),
mcmc = list(R = 300, burn = 100))
#> MCMC run time 0h:0m:0.01s
vcov(fit)
#> x1 x2 ASC_2 ASC_3
#> x1 0.0073853773 -0.0007582553 0.002509169 -0.003137150
#> x2 -0.0007582553 0.0038328084 -0.001543041 -0.003112629
#> ASC_2 0.0025091693 -0.0015430409 0.028319756 -0.002858088
#> ASC_3 -0.0031371501 -0.0031126288 -0.002858088 0.043402248
# }