Displaying 1 result from an estimated 1 matches for "model_matrix".
2009 Apr 27
0
VIF's in R using BIGLM
...vcov(reg_biglm)
Out of this, I can extract the model-based scaled variance-covariance
matrix:
> v.scaled <- attr(vcov(reg_biglm), "model-based")
Based on my research (big thanks to Assoc. Professor, Biostatistics
Thomas Lumley at University of Washington):
sandwich = v.scaled ? model_matrix ? v.scaled
It is the model_matrix I need to obtain to compute the VIF's. I do so
by inverting v.scaled and moving them to the other side of the
equation.
> v.scaled.inverted <- solve(v.scaled)
> model_matrix <- v.scaled.inverted %*% sandwich %*% v.scaled.inverted
At this point, I...