[R] variances of values predicted using a lm object
Sundar Dorai-Raj
sundar.dorai-raj at pdf.com
Thu Feb 12 20:50:36 CET 2004
Rajarshi Guha wrote:
> Hi,
> is there a function in R that will give me the variances of a
> predicted values obtained using predict.lm().
>
> If no function is available I would need to calculate them myself -
> which involves taking the inverse of X'X (' indicating transpose)
> where X is my model matrix. I know that calculating an inverse directly
> is not a good idea in general - could anybody suggest a way around this?
>
> Thanks,
>
From ?predict.lm:
<quote>
Details:
'predict.lm' produces predicted values, obtained by evaluating the
regression function in the frame 'newdata' (which defaults to
'model.frame(object)'. If the logical 'se.fit' is 'TRUE',
standard errors of the predictions are calculated.
</quote>
Is this what you need?
-sundar
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