regression parms var-cov matrix
On Wed, 23 Apr 2003, John Fox wrote:
vcov(blah.lm) will do the trick.
Well, it will do what David *said* blah.lm$R is, but in fact it is the triangular decomposition of the model matrix which is part of the qr component in R. So if David had been porting R code he would need to be careful.
At 06:51 PM 4/23/2003 -0400, Paul, David A wrote:
Win2k, R1.6.2. I've been using Splus 6.1 and wanted to try the same regression analysis in R. Using "names( blah.lm )" in R yields [1] "coefficients" "residuals" "effects" "rank" [5] "fitted.values" "assign" "qr" "df.residual" [9] "xlevels" "call" "terms" "model" In Splus, the same command yields [1] "coefficients" "residuals" "fitted.values" "effects" [5] "R" "rank" "assign" "df.residual" [9] "contrasts" "terms" "call" and blah.lm$R gives the variance-covariance matrix of the model parameters. How do get the variance-covariance matrix out of R? Apologies for such a simple question.
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 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595