[R] model constant relations

[Prof Brian Ripley]

On Mon, 10 Nov 2003, Spencer Graves wrote:

>      Have you looked at the correlation of the parameter estimates? 
> 
>       In S-Plus, this is automatically produced by summary(lm(...)).  
> There is probably a simple, elegant way to get this in R, but I don't 
> know it.  Therefore, I produced it as follows: 

summary(fit, cor=TRUE) : the default is different between R and S 
(intentionally).

See also ?vcov.

>  > DF <- data.frame(x=1:12, y=rep(1:6, each=2))
>  > fit <- lm(y~x, DF)
>  > sumfit <- summary(fit)
>  > cov.fit <- sumfit$cov.unscaled
>  > seb <- sqrt(diag(cov.fit))
>  > cov.fit / outer(seb, seb)
>             (Intercept)         x
> (Intercept)    1.000000 -0.883176
> x             -0.883176  1.000000
> 
> I developed this by looking at attributes(fit), then attributes(sumfit), 
> etc. 

-- 
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)
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