[R] Variance-covariance matrix for beta hat and b hat from lme

[Douglas Bates]

"Haifeng \(Kevin\) Xie" <H.F.Xie at westminster.ac.uk> writes:

> Given a LME model (following the notation of Pinheiro and Bates 2000)   y_i
> = X_i*beta + Z_i*b_i + e_i, is it possible to extract the
> variance-covariance matrix for the estimated beta_i hat and b_i hat from the
> lme fitted object?

Not easily.  The pieces that you need are in the condensed linear
model structure and you may be able to extract them in R code but I
have not written any code to do that.

I am revising the internal representation of lme objects using S4
classes.  Saikat DebRoy and I have one representation in the lme4
package but will probably revise that.  Some recent work on
computational methods
        http://www.stat.wisc.edu/~bates/reports/MixedComp.pdf
has me convinced that even this representation should be reorganized
and simplified.

If you really want to delve into the old structures I can give you
some pointers (pun unintended) on where to look but beware that it's a
quagmire.  (Oops - not supposed to use that word in e-mail originating
in the U.S.A.  My regards to the NSA.)


-- 
Douglas Bates                            bates at stat.wisc.edu
Statistics Department                    608/262-2598
University of Wisconsin - Madison        http://www.stat.wisc.edu/~bates/