[Rd] standard errors for glm

From: christophe dutang <dutangc_at_gmail.com>
Date: Wed, 27 Aug 2008 19:25:03 +0200


Hi,

I'm currently using biglm package to compute GLM outputs on a very large dataset. But no function computes standard erros of predictions. I look in what is done in R, namely in the function predict.glm.R in stats package. In this function, we call predict.lm to compute the standard errors (line 51). The code of predict.lm (in lm.R) is very hard to understand.

I wonder if there is any good reference and / documentation on this topic? the manual at http://www.nag.co.uk/numeric/cl/Manual/pdf/G02/g02gbc.pdfprovides a good overview of the method used in R, but there is no reference to standard errors...

I suppose this topic have already raised in the past, but I found only this http://tolstoy.newcastle.edu.au/R/help/04/08/1762.html

Thanks in advance

Christophe

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