[R] DIfference between weights options in lm GLm and gls.
Goeland
goeland at gmail.com
Fri Mar 17 03:33:00 CET 2006
Dear r-users£¬
Can anyone explain exactly the difference between Weights options in lm glm
and gls?
I try the following codes, but the results are different.
> lm1
Call:
lm(formula = y ~ x)
Coefficients:
(Intercept) x
0.1183 7.3075
> lm2
Call:
lm(formula = y ~ x, weights = W)
Coefficients:
(Intercept) x
0.04193 7.30660
> lm3
Call:
lm(formula = ys ~ Xs - 1)
Coefficients:
Xs Xsx
0.04193 7.30660
Here ys= y*sqrt(W), Xs<- sqrt(W)*cbind(1,x)
So we can see weights here for lm means the scale for X and y.
But for glm and gls I try
> glm1
Call: glm(formula = y ~ x)
Coefficients:
(Intercept) x
0.1183 7.3075
Degrees of Freedom: 1242 Total (i.e. Null); 1241 Residual
Null Deviance: 1049000
Residual Deviance: 28210 AIC: 7414
> glm2
Call: glm(formula = y ~ x, weights = W)
Coefficients:
(Intercept) x
0.1955 7.3053
Degrees of Freedom: 1242 Total (i.e. Null); 1241 Residual
Null Deviance: 1548000
Residual Deviance: 44800 AIC: 11670
> glm3
Call: glm(formula = y ~ x, weights = 1/W)
Coefficients:
(Intercept) x
0.03104 7.31033
Degrees of Freedom: 1242 Total (i.e. Null); 1241 Residual
Null Deviance: 798900
Residual Deviance: 19900 AIC: 5285
> glm4
Call: glm(formula = ys ~ Xs - 1)
Coefficients:
Xs Xsx
2.687 6.528
Degrees of Freedom: 1243 Total (i.e. Null); 1241 Residual
Null Deviance: 4490000
Residual Deviance: 506700 AIC: 11000
With weights, the glm did not give the same results as lm why?
Also for gls, I use varFixed here.
> gls3
Generalized least squares fit by REML
Model: y ~ x
Data: NULL
Log-restricted-likelihood: -3737.392
Coefficients:
(Intercept) x
0.03104214 7.31032540
Variance function:
Structure: fixed weights
Formula: ~W
Degrees of freedom: 1243 total; 1241 residual
Residual standard error: 4.004827
> gls4
Generalized least squares fit by REML
Model: ys ~ Xs - 1
Data: NULL
Log-restricted-likelihood: -5500.311
Coefficients:
Xs Xsx
2.687205 6.527893
Degrees of freedom: 1243 total; 1241 residual
Residual standard error: 20.20705
We can see the relation between glm and gls with weight as what
I think, but what's the difference between lm wit gls and glm? why?
Thanks so much.!
Goeland
Goeland
goeland at gmail.com
2006-03-16
More information about the R-help
mailing list