GLM_ERRORS - GLM Parameters' Standard Errors

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, such that 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 for Guassian (variance).

Distribution 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).

Link Description
1 Identity (residuals ~ Normal distribution)
2 Log (residuals ~ Poisson distribution)
3 Logit (residuals ~ Binomial distribution)
4 Probit(residuals ~ Binomial distribution)
5 Complementary log-log (residuals ~ Binomial distribution)
 

Remarks

  1. The underlying model is described here.
  2. The number of betas must equal to the number of explanatory variables (i.e. X) plus one (intercept).
  3. For GLM with Poisson distribution, the value of the dispersion factor (Phi) must be either missing or equal to one.
  4. For GLM with Binomial distribution,the value of the dispersion factor (Phi) must be a positive fraction (greater than zero, and less than one).
  5. For GLM with Guassian distribution, the dispersion factor (Phi) value must be positive.

Files Examples

References

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