Algorithm used by glm, family=binomial?
On Mon, 19 Apr 1999, Barnet Wagman wrote:
Does anyone know what algorithm R uses in glm, family=binomial (i.e. a logit model)? I assume that it's in the source somewhere, but I wasn't able to find it. I'd like to know what file it's in (in a unix distribution of R).
src/library/base/R/glm.R, or just list the glm and glm.fit functions. The `meat' is in glm.fit. R uses the `standard' Nelder-Wedderburn IWLS algorithm for this problem. That is explained in a number of places. One Bill Venables and I particularly like is Firth, D. (1991) Generalized linear models. Chapter 3 of Hinkley, D. V., Reid, N. and Snell, E. J. eds (1991) Statistical Theory and Modelling. In Honour of Sir David Cox, FRS. London: Chapman & Hall. Perhaps the most elementary exposition is in A. J. Dobson (1990) "An Introduction to Generalized Linear Models" Chapham & Hall. which was previously A. J. Dobson (1983) "An Introduction to Statistical Modelling". It is a useful exercise (one I set our graduate students) to write out the details in the logistic regression case, where some terms cancel.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._