Returns an array of cells for the estimated error/standard deviation of the model's parameters.
Syntax
GLM_ERRORS (X, Betas, Phi, Lvk)
- X
- is the independent variables data matrix, so each column represents one variable.
- Betas
- are the coefficients of the explanatory variables (a one-dimensional array of cells (e.g., rows or columns)).
- Phi
- is the GLM dispersion paramter. Phi is only meaningful for Binomial (1/batch or trial size) and Gaussian (variance).
Value Phi Gaussian Variance. Poisson 1.0. Binomial Reciprocal of the batch/trial size). - Lvk
- is the link function that describes how the mean depends on the linear predictor (1 = Identity (default), 2 = Log, 3 = Logit, 4 = Probit, 5 = Log-Log).
Value Lvk 1 Identity (Residuals ~ Normal distribution) (default). 2 Log (Residuals ~ Poisson distribution). 3 Logit (Residuals ~ Binomial distribution). 4 Probit (Residuals ~ Binomial distribution). 5 Complementary log-log (Residuals ~ Binomial distribution).
Remarks
- The underlying model is described here.
- The betas must equal the number of explanatory variables (i.e., X) plus one (intercept).
- For GLM with Poisson distribution, the value of the dispersion factor (Phi) must be either missing or equal to one.
- For GLM with Binomial distribution, the dispersion factor (Phi) value must be a positive fraction (greater than zero and less than one).
- For GLM with Gaussian distribution, the dispersion factor (Phi) value must be positive.
Files Examples
Related Links
References
- Hamilton, J.D.; Time Series Analysis, Princeton University Press (1994), ISBN 0-691-04289-6.
- Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740.
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