>>>>> steven pav
>>>>> on Thu, 19 Jul 2018 21:51:07 -0700 writes:
> It seems that confint.default returns an empty data.frame
> for objects of class mlm. For example:
> It seems that confint.default returns an empty data.frame for objects of
> class mlm.
Not quite: Note that 'mlm' objects are also 'lm' objects, and so
it is confint.lm() which is called here and fails.
> For example:
>
> ```
> nobs <- 20
> set.seed(1234)
> # some fake data
> datf <-
> data.frame(x1=rnorm(nobs),x2=runif(nobs),y1=rnorm(nobs),y2=rnorm(nobs))
> fitm <- lm(cbind(y1,y2) ~ x1 + x2,data=datf)
> confint(fitm)
> # returns:
> 2.5 % 97.5 %
> ```
>
> I have seen proposed workarounds on stackoverflow and elsewhere, but
> suspect this should be fixed in the stats package.
I agree.
It may be nicer to tweak confint.lm() instead though.
I'm looking into doing that.
> A proposed implementation would be:
>
> ```
> # I need this to run the code, but stats does not:
> format.perc <- stats:::format.perc
or better (mainly for esthetical reasons), use
environment(confint.mlm) <- asNamespace("stats")
after defining confint.mlm [below]
> # compute confidence intervals for mlm object.
> confint.mlm <- function (object, level = 0.95, ...) {
> cf <- coef(object)
> ncfs <- as.numeric(cf)
> a <- (1 - level)/2
> a <- c(a, 1 - a)
> fac <- qt(a, object$df.residual)
> pct <- format.perc(a, 3)
> ses <- sqrt(diag(vcov(object)))
^^^^^^^^^^^^^^^^^^^^^^^^
BTW --- and this is a diversion --- This is nice mathematically
(and used in other places, also in "base R" I think)
but in principle is a waste: Computing a full
k x k matrix and then throwing away all but the length-k
diagonal ...
In the past I had contemplated but never RFC'ed or really
implemented a stderr() generic with default method
stderr.default <- function(object) sqrt(diag(vcov(object)))
but allow non-default methods to be smarter and hence more efficient.
> ci <- ncfs + ses %o% fac
> setNames(data.frame(ci),pct)
> }
>
> # returning to the example above,
> confint(fitm)
> # returns:
> 2.5 % 97.5 %
> y1:(Intercept) -1.2261 0.7037
> y1:x1 -0.5100 0.2868
> y1:x2 -2.7554 0.8736
> y2:(Intercept) -0.6980 2.2182
> y2:x1 -0.6162 0.5879
> y2:x2 -3.9724 1.5114
> ```
I'm looking into a relatively small patch to confint.lm()
*instead* of the confint.mlm() above
Thank you very much, Steven, for your proposal!
I will let you (and the R-devel audience) know the outcome.
Best regards,
Martin Maechler
ETH Zurich and R Core Team
> --
>
> --sep
>
> [[alternative HTML version deleted]]
>
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