[R] confidence ellipsoid for model parameters

[John Fox]

Dear Renaud,

At 10:51 PM 1/1/2002 +0000, Renaud Lancelot wrote:
>Dear all,
>
>Has anyone written functions to compute (and ideally project / plot onto
>a plane) confidence ellipsoids for q linear model parameters, q > 2 ?

(I also read the subsequent messages on this topic. I'm not sure that I 
understand why you want to do what you suggest, but if I interpret the 
question properly, you should be able to proceed as follows.)

The confidence ellipse for a pair of coefficients is just (with an 
adjustment for size) the perpendicular shadow of the joint ellipsoid, in 
the same sense that the confidence intervals for individual coefficients 
are shadows of the joint ellipsoid or ellipse. The usual confidence ellipse 
for 2 of q coefficients uses qf(.95, 2, df.error) to scale the ellipse; if 
you want to scale the ellipse as a literal shadow of the joint confidence 
region for all q coefficients, use qf(.95, q, df.error) instead (which 
produces a smaller ellipse). You can do this by simply editing 
confidence.ellipse.lm in car.

I hope that this helps.
  John

-----------------------------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario, Canada L8S 4M4
email: jfox at mcmaster.ca
phone: 905-525-9140x23604
web: www.socsci.mcmaster.ca/jfox
-----------------------------------------------------

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