p.dalgaard at biostat.ku.dk
Fri Jul 15 17:58:51 CEST 2005
Robin Hankin <r.hankin at noc.soton.ac.uk> writes:
> I am trying to make glm() work to analyze a toy logit system.
> I have a dataframe with x and y independent variables. I have
> L=1+x-y (ie coefficients 1,1,-1)
> then if I have a logit relation with L=log(p/(1-p)),
> If I interpret "p" as the probability of success in a Bernouilli
> trial, and I can observe the result (0 for "no", 1 for "yes")
> how do I retrieve the coefficients c(1,1,-1)
> from the data?
> n <- 300
> des <- data.frame(x=(1:n)/n,y=sample(n)/n) # experimental design
> des <- cbind(des,L=1+des$x-des$y) # L=1+x-y
> des <- cbind(des,p=1/(1+exp(des$L))) # p=1/(1+e^L)
> des <- cbind(des,obs=rbinom(n,1,des$p)) # observation: prob of
> success = p.
> My attempt is:
> But it does not retrieve the correct coefficients of c(1,1,-1) ;
> I would expect a reasonably close answer with so much data.
> What is the correct glm() call to perform my logit analysis?
Apart from a sign error, the only fault seems to be that you think
that 300 is a large number... Try upping n to 30000 and you'll see.
(The sign error is of course that log(p/(1-p)) = L implies that
p = exp(L)/(1+exp(L)) = 1/(1+exp(-L))).
O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B
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