[R] Condition indexes and variance inflation factors

[Liaw, Andy]

I'm under the impression that condition index is just the ratio of the
maximum singular value to the minimum singular value.  So just by doing
eigen() or svd() on the design matrix (which you can get via, e.g.,
model.matrix) ought to be sufficient.  The number of near-zero eigen values
(and their corresponding eigenvectors) tell you the number (and nature) of
the collinearity.

HTH,
Andy

> -----Original Message-----
> From: Peter Flom [mailto:flom at ndri.org] 
> Sent: Wednesday, July 23, 2003 10:55 AM
> To: r-help at stat.math.ethz.ch
> Subject: [R] Condition indexes and variance inflation factors
> 
> 
> Has anyone programmed condition indexes in R?
> 
> I know that there is a function for variance inflation 
> factors available in the car package; however, Belsley (1991) 
> Conditioning Diagnostics (Wiley) notes that there are several 
> weaknesses of VIFs: e.g. 1) High VIFs are sufficient but not 
> necessary conditions for collinearity  2) VIFs don't diagnose 
> the number of collinearities and 3) No one has determined how 
> high a VIF has to be for the collinearity to be damaging.
> 
> He then develops and suggests using condition indexes 
> instead, so I was wondering if anyone had programmed them.
> 
> Thanks
> 
> Peter
> 
> 
> 
> Peter L. Flom, PhD
> Assistant Director, Statistics and Data Analysis Core
> Center for Drug Use and HIV Research
> National Development and Research Institutes
> 71 W. 23rd St
> www.peterflom.com
> New York, NY 10010
> (212) 845-4485 (voice)
> (917) 438-0894 (fax)
> 
> ______________________________________________
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