[R] fast lm se?

Liaw, Andy andy_liaw at merck.com
Fri Jan 8 14:44:18 CET 2010


From: ivo welch
> 
> dear R experts---I am using the coef() function to pick off 
> the coefficients
> from an lm() object.  alas, I also need the standard errors 
> and I need them
> fast.  I know I can do a "summary()" on the object and pick 
> them off this
> way, but this computes other stuff I do not need.  Or, I can 
> compute (X'
> X)^(-1) s^2 myself.  Has someone written a fast se() function?
> 
> incidentally, I think this would make a nice addition to the 
> R base.  I
> presume it is not uncommon for a statistician also to want to 
> use the se of
> coef estimates.

Not sure if this is much faster, but you can try
sqrt(diag(vcov(lm.object))).

Andy

 
> pointers appreciated.
> 
> regards,
> 
> /iaw
> ----
> Ivo Welch (ivo.welch at brown.edu, ivo.welch at gmail.com)
> 
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> 
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