[R] regression parms var-cov matrix

[Prof Brian Ripley]

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