David, You can use the 'vcov' function in the "stats" package to extract the variance-covariance matrix from the GLM object. Inverse of this matrix will give you the observed (not Fisher) information matrix.
You can also use the "numDeriv" package to obtain accurate Hessian of the log-likelihood. Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: [EMAIL PROTECTED] Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Charles Annis, P.E. Sent: Friday, September 29, 2006 2:51 PM To: 'Bickel, David'; r-help@stat.math.ethz.ch Subject: Re: [R] GLM information matrix David: I don't have what you want. But if your model is simple (2-parameter, binomial response, glm with a logit link) I have some code that computes and plots the loglikelihood surface using contour() and superimposes the asymptotic 95% confidence ellipse, for comparison with the observed contour for qchisq(0.95, df=2)/2. And for many datasets the agreement isn't as nice as you might hope, and that your Hessian might require. (That is, the actually contour is not elliptical, or if it is its axes may not agree well with the pseudo-elliptical contour of the observed loglikelihood surface.) You may be looking for the resulting confidence bounds on the glm fit for which I also have code that iteratively interrogates the loglikelihood surface without plotting it. If any of this is interesting, please send me a note so we won't clog the bandwidth. Charles Annis, P.E. [EMAIL PROTECTED] phone: 561-352-9699 eFax: 614-455-3265 http://www.StatisticalEngineering.com -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Bickel, David Sent: Friday, September 29, 2006 1:50 PM To: r-help@stat.math.ethz.ch Subject: [R] GLM information matrix Is there a function that provides the Fisher information matrix for a generalized linear model? I do not see how to access the off-diagonal matrix elements of the value returned by glm. (I'm particularly interested in logistic regression.) If not, what is a good way to use R to compute Hessians or other partial derivatives of log likelihoods? I would appreciate any guidance. David _______________________________________ David R. Bickel http://davidbickel.com Research Scientist Pioneer Hi-Bred International (DuPont) Bioinformatics 7200 NW 62nd Ave.; PO Box 184 Johnston, IA 50131-0184 515-334-4739 Tel 515-334-4473 Fax [EMAIL PROTECTED] This communication is for use by the intended recipient and ...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.