R/linreg.R

Defines functions linmodEst linmod linmod.default linmod.formula print.linmod

linmodEst <- function(x, y) {
  ## compute QR-decomposition of x
  qx <- qr(x)
  ## compute (x’x)^(-1) x’y
  coef <- solve.qr(qx, y)
  ## degrees of freedom and standard deviation of residuals
  df <- nrow(x) - ncol(x)
  sigma2 <- sum((y - x %*% coef) ^ 2) / df
  ## compute sigma^2 * (x’x)^-1
  vcov <- sigma2 * chol2inv(qx$qr)
  colnames(vcov) <- rownames(vcov) <- colnames(x)
  list(
    coefficients = coef,
    vcov = vcov,
    sigma = sqrt(sigma2),
    df = df
  )
}


linmod <- function(x, ...)
  UseMethod("linmod")



linmod.default <- function(x, y, ...) {
  x <- as.matrix(x)
  y <- as.numeric(y)
  est <- linmodEst(x, y)
  est$fitted.values <- as.vector(x %*% est$coefficients)
  est$residuals <- y - est$fitted.values
  est$call <- match.call()
  class(est) <- "linmod"
  return(est)
}

linmod.formula <- function(formula, data = list(), ...) {
  mf <- model.frame(formula = formula, data = data)
  x <- model.matrix(attr(mf, "terms"), data = mf)
  y <- model.response(mf)
  est <- linmod.default(x, y, ...)
  est$call <- match.call()
  est$formula <- formula
  return(est)
}


print.linmod <- function(x, ...) {
  cat("Call:\n")
  print(x$call)
  cat("\nCoefficients:\n")
  print(x$coefficients)
}
hilgerch/Linreg documentation built on May 28, 2019, 8:56 p.m.