Hi, Thanks for answering so quickly.
Actually, I do not have the John Fox's book. On this webpage, there is a handout for logistic regression (GLM I'm interested in) (cf. http://socserv.socsci.mcmaster.ca/jfox/Courses/SPIDA/logistic-regression-handout.pdf). The summary function return standard errors for coefficient estimates but not for predictions. According to http://www.nag.co.uk/numeric/cl/Manual/pdf/G02/g02gbc.pdf<http://www.nag.co.uk/numeric/cl/Manual/pdf/G02/g02gbc.pdfprovides> the standard errors for the linear predictors X \hat{\beta} is X C X^t where C is the variance/covariance matrix of coefficient estimate \hat{\beta} . But I do not know standard errors for a response. Christophe 2008/8/27 <[EMAIL PROTECTED]> > Hi: you can check John Fox's CAR book if you have it. I don't remember for > sure but I may have standard error related calculations for some of > his graphics in the GLM section of the book ? But, Can you not get the > sigma^2 hat the summary of a GLM ? i would do > > glmsum<-summary("yourglmmodel") and check there. > > I'd be really surprised if the variance of the error term wasn't there. > Then, if you have that I think you can use that to calculate the prediction > standard error as long as you assume that the parameters of the model are > known with certainty. The formula for that is in the regular regression ( > non GLM ) textbooks but i don't remember it off the top of my head. Good > luck and hopefully someone else will reply with more exact info. > > > > > > > On Wed, Aug 27, 2008 at 1:25 PM, christophe dutang wrote: > > Hi, >> >> I'm currently using biglm package to compute GLM outputs on a very large >> dataset. But no function computes standard erros of predictions. I look in >> what is done in R, namely in the function predict.glm.R in stats package. >> In this function, we call predict.lm to compute the standard errors (line >> 51). The code of predict.lm (in lm.R) is very hard to understand. >> >> I wonder if there is any good reference and / documentation on this topic? >> the manual at >> http://www.nag.co.uk/numeric/cl/Manual/pdf/G02/g02gbc.pdfprovides >> a good overview of the method used in R, but there is no reference >> to standard errors... >> >> I suppose this topic have already raised in the past, but I found only >> this >> http://tolstoy.newcastle.edu.au/R/help/04/08/1762.html >> >> Thanks in advance >> >> Christophe >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> R-devel@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-devel >> > [[alternative HTML version deleted]] ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
