[R] lm() variance covariance matrix of coefficients.
Peter Dalgaard
p.dalgaard at biostat.ku.dk
Sat Jun 3 01:34:48 CEST 2006
Rolf Turner <rolf at erdos.math.unb.ca> writes:
> Peter Dalgaard wrote:
>
> > Rolf Turner <rolf at erdos.math.unb.ca> writes:
> >
> > > summary(object)$cov.unscaled
> >
> > You need to multiply that with sigma. However, vcov(object) is easier.
>
> Well, I thought unscaled meant unscaled --- the plain
> unvarnished covariance matrix! I figure that multiplying
> the *covariance* matrix by something would be scaling
> it. Silly me.
Think (quasi-)binomial glm() and things become clearer. Unscaled
corresponds to a scale factor of 1.
> Also:
>
> (a) Shouldn't that be ``multiply by sigma^2'' rather
> than by sigma?
Yup
> (b) Wouldn't it be helpful to have a pointer (``see also'')
> to vcov() in the help on summary.lm()?
Well, it *is* in ?lm ...
--
O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B
c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K
(*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
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