After fitting a multivariate linear model (mlm), I'd like to be able to
run or apply
a standard univariate stats:::*.lm function to each of the response
variables,
within a function -- i.e., by operating on the mlm object, rather than
re-running
the univariate models separately manually.
An example: extracting cooks.distance components (via
stats:::cooks.distance.lm)
grain <- c(40, 17, 9, 15, 6, 12, 5, 9) # y1
straw <- c(53, 19, 10, 29, 13, 27, 19, 30) # y2
fertilizer <- c(24, 11, 5, 12, 7, 14, 11, 18) # x
Fertilizer <- data.frame(grain, straw, fertilizer)
# fit the mlm
mod <- lm(cbind(grain, straw) ~ fertilizer, data=Fertilizer)
# run univariate regressionsand get cooks.distance
> (cookd.grain <- cooks.distance(lm(grain ~ fertilizer, data=Fertilizer)))
1 2 3 4 5 6 7
3.4436e+00 4.0957e-02 2.2733e-01 4.8605e-03 1.4073e-05 2.0479e-02
6.4192e-02
8
4.8383e-01
> (cookd.straw <- cooks.distance(lm(straw ~ fertilizer, data=Fertilizer)))
1 2 3 4 5 6 7 8
2.0003953 0.0283225 0.0675803 0.1591198 0.0013352 0.0024076 0.0283225
0.4672299
This is the result I want:
> data.frame(cookd.grain, cookd.straw)
cookd.grain cookd.straw
1 3.4436e+00 2.0003953
2 4.0957e-02 0.0283225
3 2.2733e-01 0.0675803
4 4.8605e-03 0.1591198
5 1.4073e-05 0.0013352
6 2.0479e-02 0.0024076
7 6.4192e-02 0.0283225
8 4.8383e-01 0.4672299
Note that if I call cooks.distance.lm directly on the mlm object, there
is no complaint
or warning, but the result is silently WRONG:
> # try calling cooks.distance.lm directly: silently WRONG
> stats:::cooks.distance.lm(mod)
grain straw
1 3.4436e+00 0.51729792
2 1.5838e-01 0.02832250
3 2.2733e-01 0.01747613
4 1.8796e-02 0.15911979
5 1.4073e-05 0.00034527
6 7.9192e-02 0.00240762
7 6.4192e-02 0.00732414
8 1.8710e+00 0.46722985
>
I realize that I can also use update() on the mlm object to re-fit the
univariate models,
but I don't know how to extract the response names from it to do this in
a function
> coef(mod) # multivariate
grain straw
(Intercept) -3.7524 -2.2965
fertilizer 1.4022 2.1409
> coef(update(mod, grain ~ .))
(Intercept) fertilizer
-3.7524 1.4022
> coef(update(mod, straw ~ .))
(Intercept) fertilizer
-2.2965 2.1409
>
--
Michael Friendly Email: friendly AT yorku DOT ca
Professor, Psychology Dept. & Chair, Quantitative Methods
York University Voice: 416 736-2100 x66249 Fax: 416 736-5814
4700 Keele Street Web: http://www.datavis.ca
Toronto, ONT M3J 1P3 CANADA
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