Re: [R] Degrees of freedom for lm in logLik and AIC

From: Rubén Roa <rroa_at_azti.es>
Date: Mon, 28 Mar 2011 16:03:04 +0200

However, shouldn't _free parameters_ only be counted for degrees of freedom and for calculation of AIC? The sigma parameter is profiled out in a least-squares linear regression, so it's not free, it's not a dimension of the likelihood. Just wondering ...


Dr. Rubén Roa-Ureta
AZTI - Tecnalia / Marine Research Unit
Txatxarramendi Ugartea z/g
48395 Sukarrieta (Bizkaia)
SPAIN
> -----Mensaje original-----
> De: r-help-bounces_at_r-project.org
> [mailto:r-help-bounces_at_r-project.org] En nombre de Frank Harrell
> Enviado el: lunes, 28 de marzo de 2011 15:44
> Para: r-help_at_r-project.org
> Asunto: Re: [R] Degrees of freedom for lm in logLik and AIC
>
> Thank you Peter. I didn't realize that was the convention used.
> Frank
>
>
> Peter Dalgaard-2 wrote:
> >
> > On Mar 28, 2011, at 05:36 , Frank Harrell wrote:
> >
> > &gt; I have a question about the computation of the degrees
> of freedom
> > in a linear &gt; model:
> > &gt;
> > &gt; x &lt;- runif(20); y &lt;- runif(20) &gt; f &lt;- lm(y
> ~ x) &gt;
> > logLik(f) &gt; 'log Lik.' -1.968056 (df=3) &gt; &gt; The 3
> is coming
> > from f$rank + 1. Shouldn't it be f$rank? This affects &gt; AIC(f).
> >
> > I count three parameters in a simple linear regression:
> alpha, beta,
> > sigma.
> >
> > From a generic-likelihood point of view, I don't see how
> you can omit
> > the last one.
> >
> > -pd
> >
> > --
> > Peter Dalgaard
> > Center for Statistics, Copenhagen Business School Solbjerg Plads 3,
> > 2000 Frederiksberg, Denmark
> > Phone: (+45)38153501
> > Email: pd.mes_at_cbs.dk Priv: PDalgd_at_gmail.com
> >
> > ______________________________________________
> > R-help_at_r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
> > http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >
>
>
> -----
> Frank Harrell
> Department of Biostatistics, Vanderbilt University
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Degrees-of-freedom-for-lm-in-log
> Lik-and-AIC-tp3410687p3411759.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 28 Mar 2011 - 14:09:59 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 28 Mar 2011 - 19:30:25 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive