[R] model constant relations
spencer.graves at pdf.com
Mon Nov 10 17:15:45 CET 2003
Thanks very much: I typed "?summary.fit" when I meant to type
"?summary.lm", which explains why I didn't find the "cor" argument.
Thanks also for the reference to "?vcov". I didn't see that in the "see
also" section for either "lm" or "summary" or "summary.lm". Might it be
Prof Brian Ripley wrote:
>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
>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),
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