Re: [R] lm() variance covariance matrix of coefficients.

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Sat 03 Jun 2006 - 09:34:48 EST

Rolf Turner <rolf@erdos.math.unb.ca> writes:

> Peter Dalgaard wrote:
>
> > Rolf Turner <rolf@erdos.math.unb.ca> writes:
> >
> > > summary(object)$cov.unscaled
> >
> > You need to multiply that with sigma. However, vcov(object) is easier.
>
> Well, I thought unscaled meant unscaled --- the plain
> unvarnished covariance matrix! I figure that multiplying
> the *covariance* matrix by something would be scaling
> it. Silly me.

Think (quasi-)binomial glm() and things become clearer. Unscaled corresponds to a scale factor of 1.  

> Also:
>
> (a) Shouldn't that be ``multiply by sigma^2'' rather
> than by sigma?

Yup

> (b) Wouldn't it be helpful to have a pointer (``see also'')
> to vcov() in the help on summary.lm()?

Well, it *is* in ?lm ...

-- 
   O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard@biostat.ku.dk)                  FAX: (+45) 35327907

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Received on Sat Jun 03 09:40:31 2006

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