R/hello.R

In whhsu2/linreg:

# Hello, world!
#
# This is an example function named 'hello'
# which prints 'Hello, world!'.
#
# You can learn more about package authoring with RStudio at:
#
#   http://r-pkgs.had.co.nz/
#
# Some useful keyboard shortcuts for package authoring:
#
#   Build and Reload Package:  'Cmd + Shift + B'
#   Check Package:             'Cmd + Shift + E'
#   Test Package:              'Cmd + Shift + T'

linmodEst <- function(x, y) {
  coef <- solve(t(x) %*% x) %*% t(x) %*% 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 * solve(t(x) %*% x)
  colnames(vcov) <- rownames(vcov) <- colnames(x)
  list(
    coefficients = coef,
    vcov = vcov,
    sigma = sqrt(sigma2),
    df = df
  )
}