Parameter Variances and Covariances
Estimates for the variances and covariances of the estimated parameters are computed using the following equations.
Let , where X is the matrix regression matrix, and V is an diagonal matrix with ith diagonal term πi(1 – πi). That is, the matrix X is:
and the matrix V is:
Denote:
The estimate of the variance of is then the jth diagonal term of the matrix , and the off-diagonal terms are the covariance estimates for and .