Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: glm
See also: glmest glmstat eigsm

Quantlet: glmdiagh
Description: glmdiagh calculates the diagonal elements of the 'hat' matrix

Link:
Usage: h = glmdiagh(bv,x{,w})
Input:
bv p x p matrix, the estimated covariance matrix for the coefficients.
x n x p matrix, the matrix of (observed) regressor variables.
w optional, n x 1 matrix, the weights used to estimate the coefficients.
Output:
h n x 1 matrix, the diagonal elements of the `hat' matrix: W'^(1/2)X(X'WX)^(-1) X'W^(1/2).

Example:

library("glm")

n = 100

b = 2|(-1) 

x = normal(n,rows(b))

m = ceil(uniform(n).*5) 

{y,p} = genglm("bilo",x,b,m)

opt=glmopt("wx",m)             

l = glmest("bilo",x,y,opt)

d=glmlld("bilo",x*b,y,opt)

h=glmdiagh(l.bv,x, -m.*d.ll2)          

Result:

Vector of diagonal elements of the hat matrix.


Library: glm
See also: glmest glmstat eigsm

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Marlene Mueller, 2000/05/18
(C) MD*TECH Method and Data Technologies, 21.9.2000