R/linmodEst.R

In rcastaneda2/sfunction3: What the package does (short line)

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)
}