mcglm: Multivariate Covariance Generalized Linear Models

Fitting multivariate covariance generalized linear models (McGLMs) to data. McGLMs is a general framework for non-normal multivariate data analysis, designed to handle multivariate response variables, along with a wide range of temporal and spatial correlation structures defined in terms of a covariance link function combined with a matrix linear predictor involving known matrices. The models take non-normality into account in the conventional way by means of a variance function, and the mean structure is modelled by means of a link function and a linear predictor. The models are fitted using an efficient Newton scoring algorithm based on quasi-likelihood and Pearson estimating functions, using only second-moment assumptions. This provides a unified approach to a wide variety of different types of response variables and covariance structures, including multivariate extensions of repeated measures, time series, longitudinal, spatial and spatio-temporal structures. The package offers a user-friendly interface for fitting McGLMs similar to the glm() R function.

Install the latest version of this package by entering the following in R:
AuthorWagner Hugo Bonat [aut, cre], Walmes Marques Zeviani [ctb], Fernando de Pol Mayer [ctb]
Date of publication2016-06-09 20:23:56
MaintainerWagner Hugo Bonat <>
LicenseGPL-3 | file LICENSE

View on CRAN

Man pages

ahs: Australian Health Survey

anova.mcglm: Anova Tables

coef.mcglm: Model Coefficients

confint.mcglm: Confidence Intervals for Model Parameters

covprod: Cross variability matrix

ESS: Generalized Error Sum of Squares

fit_mcglm: Chaser and Reciprocal Likelihood Algorithms

fitted.mcglm: Fitted Values

gof: Measures of Goodness-of-Fit

GOSHO: Gosho Information Criterion

Hunting: Hunting in Pico Basile, Bioko Island, Equatorial Guinea.

mc_bias_corrected_std: Bias-corrected Standard Error for Regression Parameters

mc_build_bdiag: Build a block-diagonal matrix of zeros.

mc_build_C: Build the joint covariance matrix

mc_build_omega: Build omega matrix

mc_build_sigma: Build variance-covariance matrix

mc_build_sigma_between: Build the correlation matrix between response variables

mc_car: Conditional Autoregressive Model Structure

mc_compute_rho: Autocorrelation Estimates

mc_conditional_test: Conditional Hypotheses Tests

mc_core_pearson: Core of the Pearson estimating function.

mc_correction: Pearson correction term

mc_cross_sensitivity: Cross-sensitivity

mc_cross_variability: Compute the cross-variability matrix

mc_derivative_cholesky: Derivatives of the Cholesky decomposition

mc_derivative_C_rho: Derivative of C with respect to rho.

mc_derivative_expm: Derivative of exponential-matrix function

mc_derivative_sigma_beta: Derivatives of V^1/2 with respect to beta.

mc_dexp_gold: Exponential-matrix and its derivatives

mc_dist: Distance Models Structure

mc_expm: Exponential-matrix covariance link function

mc_getInformation: Getting information about model parameters

mcglm: Fitting Multivariate Covariance Generalized Linear Models

mc_id: Independent Model Structure

mc_initial_values: Automatic Initial Values

mc_link_function: Link Functions

mc_list2vec: Auxiliar function transforms list to a vector.

mc_ma: Moving Average Models Structure

mc_matrix_linear_predictor: Matrix Linear Predictor

mc_mixed: Mixed Models Structure

mc_pearson: Pearson estimating function

mc_quasi_score: Quasi-score function

mc_robust_std: Robust Standard Error for Regression Parameters

mc_rw: Random Walk Models Structure

mc_sandwich: Matrix product in sandwich form

mc_sensitivity: Sensitivity matrix

mc_sic: Score Information Criterion - Regression

mc_sic_covariance: Score Information Criterion - Covariance

mc_transform_list_bdiag: Auxiliar function to compute the derivatives of the C matrix.

mc_updateBeta: Updated regression parameters

mc_updateCov: Updated covariance parameters

mc_variability: Variability matrix

mc_variance_function: Variance Functions

NewBorn: Respiratory Physiotherapy on Premature Newborns.

pAIC: Pseudo Akaike Information Criterion

pKLIC: Pseudo Kullback-Leibler Information Criterion

plogLik: Gaussian Pseudo-loglikelihood

plot.mcglm: Residuals and algorithm check plots

print.mcglm: Print

residuals.mcglm: Residuals

RJC: Rotnitzky-Jewell Information Criterion

soil: Soil Chemistry Properties Data

soya: Soybeans

summary.mcglm: Summarizing

vcov.mcglm: Variance-Covariance Matrix


ahs Man page
anova.mcglm Man page
coef.mcglm Man page
confint.mcglm Man page
covprod Man page
ESS Man page
fit_mcglm Man page
fitted.mcglm Man page
gof Man page
GOSHO Man page
Hunting Man page
mc_bias_corrected_std Man page
mc_binomialP Man page
mc_binomialPQ Man page
mc_build_bdiag Man page
mc_build_C Man page
mc_build_omega Man page
mc_build_sigma Man page
mc_build_sigma_between Man page
mc_car Man page
mc_cauchit Man page
mc_cloglog Man page
mc_compute_rho Man page
mc_conditional_test Man page
mc_core_pearson Man page
mc_correction Man page
mc_cross_sensitivity Man page
mc_cross_variability Man page
mc_derivative_cholesky Man page
mc_derivative_C_rho Man page
mc_derivative_expm Man page
mc_derivative_sigma_beta Man page
mc_derivative_sigma_between Man page
mc_dexp_gold Man page
mc_dist Man page
mc_expm Man page
mc_getInformation Man page
mcglm Man page
mc_id Man page
mc_identity Man page
mc_initial_values Man page
mc_inverse Man page
mc_invmu2 Man page
mc_link_function Man page
mc_list2vec Man page
mc_log Man page
mc_logit Man page
mc_loglog Man page
mc_ma Man page
mc_matrix_linear_predictor Man page
mc_mixed Man page
mc_multiply Man page
mc_multiply2 Man page
mc_pearson Man page
mc_power Man page
mc_probit Man page
mc_quasi_score Man page
mc_robust_std Man page
mc_rw Man page
mc_sandwich Man page
mc_sandwich_cholesky Man page
mc_sandwich_negative Man page
mc_sandwich_power Man page
mc_sensitivity Man page
mc_sic Man page
mc_sic_covariance Man page
mc_sqrt Man page
mc_transform_list_bdiag Man page
mc_updateBeta Man page
mc_updateCov Man page
mc_variability Man page
mc_variance_function Man page
NewBorn Man page
pAIC Man page
pKLIC Man page
plogLik Man page
plot.mcglm Man page
print.mcglm Man page
residuals.mcglm Man page
RJC Man page
soil Man page
soya Man page
summary.mcglm Man page
vcov.mcglm Man page


inst/doc/GLMExamples.R inst/doc/UniModels.R
tests/testthat/test_mc_build_sigma_between.R tests/testthat/test_mc_link_function.R tests/testthat/test_mc_matrix_linear_predictor.R tests/testthat/test_mc_build_C.R tests/testthat/test_mc_build_omega.R tests/testthat/test_mc_build_sigma.R tests/testthat/test_mc_variance_function.R tests/testthat/test_mc_quasi_score.R
R/mc_cross_sensitivity.R R/mc_pearson.R R/mc_transform_list_bdiag.R R/mc_getInformation.R R/mc_variability.R R/mc_cross_variability.R R/mc_conditional_test.R R/mc_compute_rho.R R/mc_correction.R R/mc_build_bdiag.R R/mc_build_omega.R R/zzz_onAttach.R R/mc_derivative_expm.R R/mc_build_C.R R/mc_id.R R/mc_dexp_gold.R R/mcglm.R R/mc_pAIC.R R/mc_KLIC.R R/mc_S3_methods.R R/mc_derivative_C_rho.R R/mc_dist.R R/mc_derivative_cholesky.R R/mc_ma.R R/mc_plogLik.R R/mc_main_function.R R/mc_sic_covariance.R R/mc_car.R R/mc_ess.R R/mc_rw.R R/mc_initial_values.R R/mc_updatedCov.R R/mc_RJC.R R/mc_bias_correct_std.R R/mc_matrix_linear_predictor.R R/mc_robust_std.R R/mc_auxiliar.R R/mc_core_pearson.R R/mc_gosho.R R/mc_sensitivity.R R/mc_dexpm.R R/mc_build_sigma.R R/mc_core_cross_variability.R R/mc_sic.R R/mc_gof.R R/fit_mcglm.R R/mc_derivative_sigma_beta.R R/mc_list2vec.R R/mc_variance_function.R R/mc_updatedBeta.R R/mc_build_sigmab.R R/mc_quasi_score.R R/mc_link_function.R R/mc_mixed.R
man/mc_bias_corrected_std.Rd man/mc_sic.Rd man/mc_link_function.Rd man/plogLik.Rd man/mc_sandwich.Rd man/mc_core_pearson.Rd man/soya.Rd man/mc_robust_std.Rd man/NewBorn.Rd man/covprod.Rd man/confint.mcglm.Rd man/mc_compute_rho.Rd man/mc_dexp_gold.Rd man/mc_expm.Rd man/mc_id.Rd man/mc_quasi_score.Rd man/mc_ma.Rd man/mc_build_sigma_between.Rd man/mc_derivative_expm.Rd man/GOSHO.Rd man/mc_build_sigma.Rd man/mc_cross_variability.Rd man/mc_list2vec.Rd man/mc_car.Rd man/mc_matrix_linear_predictor.Rd man/summary.mcglm.Rd man/mc_cross_sensitivity.Rd man/print.mcglm.Rd man/mc_variability.Rd man/mc_mixed.Rd man/mc_build_bdiag.Rd man/mc_updateCov.Rd man/mc_sic_covariance.Rd man/pAIC.Rd man/mc_derivative_cholesky.Rd man/mc_build_C.Rd man/mc_derivative_sigma_beta.Rd man/mc_rw.Rd man/mcglm.Rd man/mc_transform_list_bdiag.Rd man/mc_correction.Rd man/vcov.mcglm.Rd man/mc_build_omega.Rd man/mc_derivative_C_rho.Rd man/ESS.Rd man/soil.Rd man/mc_getInformation.Rd man/Hunting.Rd man/mc_initial_values.Rd man/mc_pearson.Rd man/mc_sensitivity.Rd man/pKLIC.Rd man/plot.mcglm.Rd man/RJC.Rd man/ahs.Rd man/fit_mcglm.Rd man/mc_conditional_test.Rd man/fitted.mcglm.Rd man/coef.mcglm.Rd man/residuals.mcglm.Rd man/mc_updateBeta.Rd man/mc_variance_function.Rd man/anova.mcglm.Rd man/mc_dist.Rd man/gof.Rd

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