[R] LR-based CIs for GLMs

Tim CHURCHES TCHUR at doh.health.nsw.gov.au
Wed Mar 21 04:01:09 CET 2001


We are using glm() to models to counts of deaths due to rare causes using a log link and Poisson error distribution, with population as the offset. Approximate confidence intervals for the parameter estimates are easy to calculate using a standard normal deviate, but obviously when the counts of deaths are small (which is why we are using Poisson regression), these intervals are very approximate indeed. 

Has anyone done any work on calculating  more precise likelihood ratio - based confidence intervals for parameter estimates from generalised linear models? These are also known as "profile likelihood confidence intervals", I believe. PROC GENMOD in SAS can calculate them - I am happy to email the relevant page from the SAS online documentation which describes the way in which they are calculated in more detail to anyone who is interested - but we would much rather use R for this work...

Regards,

Tim Churches
Epidemiology and Surveillance Branch
NSW Health Department
Sydney, Australia




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