Description
glm
is used to fit generalized linear models, specified by giving a symbolic description of the linear predictor and a description of the error distribution.
Usage
glm(formula, family = gaussian, data, weights, subset, na.action, start = NULL, etastart, mustart, offset, control = list(…), model = TRUE, method = "glm.fit", x = FALSE, y = TRUE, singular.ok = TRUE, contrasts = NULL, …)glm.fit(x, y, weights = rep(1, nobs), start = NULL, etastart = NULL, mustart = NULL, offset = rep(0, nobs), family = gaussian(), control = list(), intercept = TRUE, singular.ok = TRUE)
# S3 method for glmweights(object, type = c("prior", "working"), …)
Arguments
formula
an object of class "formula"
(or one that can be coerced to that class): a symbolic description of the model to be fitted. The details of model specification are given under ‘Details’.
family
a description of the error distribution and link function to be used in the model. For glm
this can be a character string naming a family function, a family function or the result of a call to a family function. For glm.fit
only the third option is supported. (See family
for details of family functions.)
data
an optional data frame, list or environment (or object coercible by as.data.frame
to a data frame) containing the variables in the model. If not found in data
, the variables are taken from environment(formula)
, typically the environment from which glm
is called.
weights
an optional vector of ‘prior weights’ to be used in the fitting process. Should be NULL
or a numeric vector.
subset
an optional vector specifying a subset of observations to be used in the fitting process.
na.action
a function which indicates what should happen when the data contain NA
s. The default is set by the na.action
setting of options
, and is na.fail
if that is unset. The ‘factory-fresh’ default is na.omit
. Another possible value is NULL
, no action. Value na.exclude
can be useful.
start
starting values for the parameters in the linear predictor.
etastart
starting values for the linear predictor.
offset
this can be used to specify an a priori known component to be included in the linear predictor during fitting. This should be NULL
or a numeric vector of length equal to the number of cases. One or more offset
terms can be included in the formula instead or as well, and if more than one is specified their sum is used. See model.offset
.
control
a list of parameters for controlling the fitting process. For glm.fit
this is passed to glm.control
.
model
a logical value indicating whether model frame should be included as a component of the returned value.
method
the method to be used in fitting the model. The default method User-supplied fitting functions can be supplied either as a function or a character string naming a function, with a function which takes the same arguments as "glm.fit"
uses iteratively reweighted least squares (IWLS): the alternative "model.frame"
returns the model frame and does no fitting.glm.fit
. If specified as a character string it is looked up from within the stats namespace.
x, y
For For glm
: logical values indicating whether the response vector and model matrix used in the fitting process should be returned as components of the returned value.glm.fit
: x
is a design matrix of dimension n * p
, and y
is a vector of observations of length n
.
singular.ok
logical; if FALSE
a singular fit is an error.
contrasts
an optional list. See the contrasts.arg
of model.matrix.default
.
intercept
logical. Should an intercept be included in the null model?
object
an object inheriting from class "glm"
.
type
character, partial matching allowed. Type of weights to extract from the fitted model object. Can be abbreviated.
…
For For glm
: arguments to be used to form the default control
argument if it is not supplied directly.weights
: further arguments passed to or from other methods.
Value
glm
returns an object of class inheriting from "glm"
which inherits from the class "lm"
. See later in this section. If a non-standard method
is used, the object will also inherit from the class (if any) returned by that function.
The function summary
(i.e., summary.glm
) can be used to obtain or print a summary of the results and the function anova
(i.e., anova.glm
) to produce an analysis of variance table.
The generic accessor functions coefficients
, effects
, fitted.values
and residuals
can be used to extract various useful features of the value returned by glm
.
weights
extracts a vector of weights, one for each case in the fit (after subsetting and na.action
).
An object of class "glm"
is a list containing at least the following components:
a named vector of coefficients
the working residuals, that is the residuals in the final iteration of the IWLS fit. Since cases with zero weights are omitted, their working residuals are NA
.
the fitted mean values, obtained by transforming the linear predictors by the inverse of the link function.
the numeric rank of the fitted linear model.
the family
object used.
the linear fit on link scale.
up to a constant, minus twice the maximized log-likelihood. Where sensible, the constant is chosen so that a saturated model has deviance zero.
A version of Akaike's An Information Criterion, minus twice the maximized log-likelihood plus twice the number of parameters, computed via the aic
component of the family. For binomial and Poison families the dispersion is fixed at one and the number of parameters is the number of coefficients. For gaussian, Gamma and inverse gaussian families the dispersion is estimated from the residual deviance, and the number of parameters is the number of coefficients plus one. For a gaussian family the MLE of the dispersion is used so this is a valid value of AIC, but for Gamma and inverse gaussian families it is not. For families fitted by quasi-likelihood the value is NA
.
The deviance for the null model, comparable with deviance
. The null model will include the offset, and an intercept if there is one in the model. Note that this will be incorrect if the link function depends on the data other than through the fitted mean: specify a zero offset to force a correct calculation.
the number of iterations of IWLS used.
the working weights, that is the weights in the final iteration of the IWLS fit.
the weights initially supplied, a vector of 1
s if none were.
the residual degrees of freedom.
the residual degrees of freedom for the null model.
if requested (the default) the y
vector used. (It is a vector even for a binomial model.)
if requested, the model matrix.
if requested (the default), the model frame.
logical. Was the IWLS algorithm judged to have converged?
logical. Is the fitted value on the boundary of the attainable values?
the matched call.
the formula supplied.
the terms
object used.
the data argument
.
the offset vector used.
the value of the control
argument used.
the name of the fitter function used (when provided as a character
string to glm()
) or the fitter function
(when provided as that).
(where relevant) the contrasts used.
(where relevant) a record of the levels of the factors used in fitting.
(where relevant) information returned by model.frame
on the special handling of NA
s.
In addition, non-empty fits will have components qr, R and effects relating to the final weighted linear fit.
Objects of class "glm" are normally of class c("glm", "lm"), that is inherit from class "lm", and well-designed methods for class "lm" will be applied to the weighted linear model at the final iteration of IWLS. However, care is needed, as extractor functions for class "glm" such as residuals and weights do not just pick out the component of the fit with the same name.
If a binomial glm model was specified by giving a two-column response, the weights returned by prior.weights are the total numbers of cases (factored by the supplied case weights) and the component y of the result is the proportion of successes.
Fitting functions
The argument The class of the object return by the fitter (if any) will be prepended to the class returned by method
serves two purposes. One is to allow the model frame to be recreated with no fitting. The other is to allow the default fitting function glm.fit
to be replaced by a function which takes the same arguments and uses a different fitting algorithm. If glm.fit
is supplied as a character string it is used to search for a function of that name, starting in the stats namespace.glm
.
Details
A typical predictor has the form response ~ terms
where response
is the (numeric) response vector and terms
is a series of terms which specifies a linear predictor for response
. For binomial
and quasibinomial
families the response can also be specified as a factor
(when the first level denotes failure and all others success) or as a two-column matrix with the columns giving the numbers of successes and failures. A terms specification of the form first + second
indicates all the terms in first
together with all the terms in second
with any duplicates removed.
A specification of the form first:second
indicates the set of terms obtained by taking the interactions of all terms in first
with all terms in second
. The specification first*second
indicates the cross of first
and second
. This is the same as first + second + first:second
.
The terms in the formula will be re-ordered so that main effects come first, followed by the interactions, all second-order, all third-order and so on: to avoid this pass a terms
object as the formula.
Non-NULL
weights
can be used to indicate that different observations have different dispersions (with the values in weights
being inversely proportional to the dispersions); or equivalently, when the elements of weights
are positive integers \(w_i\), that each response \(y_i\) is the mean of \(w_i\) unit-weight observations. For a binomial GLM prior weights are used to give the number of trials when the response is the proportion of successes: they would rarely be used for a Poisson GLM.
glm.fit
is the workhorse function: it is not normally called directly but can be more efficient where the response vector, design matrix and family have already been calculated.
If more than one of etastart
, start
and mustart
is specified, the first in the list will be used. It is often advisable to supply starting values for a quasi
family, and also for families with unusual links such as gaussian("log")
.
All of weights
, subset
, offset
, etastart
and mustart
are evaluated in the same way as variables in formula
, that is first in data
and then in the environment of formula
.
For the background to warning messages about ‘fitted probabilities numerically 0 or 1 occurred’ for binomial GLMs, see Venables & Ripley (2002, pp.197--8).
References
Dobson, A. J. (1990) An Introduction to Generalized Linear Models. London: Chapman and Hall.
Hastie, T. J. and Pregibon, D. (1992) Generalized linear models. Chapter 6 of Statistical Models in S eds J. M. Chambers and T. J. Hastie, Wadsworth & Brooks/Cole.
McCullagh P. and Nelder, J. A. (1989) Generalized Linear Models. London: Chapman and Hall.
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. New York: Springer.
See Also
anova.glm
, summary.glm
, etc. for glm
methods, and the generic functions anova
, summary
, effects
, fitted.values
, and residuals
.
lm
for non-generalized linear models (which SAS calls GLMs, for ‘general’ linear models).
loglin
and loglm
(package MASS) for fitting log-linear models (which binomial and Poisson GLMs are) to contingency tables.
bigglm
in package biglm for an alternative way to fit GLMs to large datasets (especially those with many cases).
esoph
, infert
and predict.glm
have examples of fitting binomial glms.
Examples
# NOT RUN {## Dobson (1990) Page 93: Randomized Controlled Trial :counts <- c(18,17,15,20,10,20,25,13,12)outcome <- gl(3,1,9)treatment <- gl(3,3)print(d.AD <- data.frame(treatment, outcome, counts))glm.D93 <- glm(counts ~ outcome + treatment, family = poisson())anova(glm.D93)# }# NOT RUN {summary(glm.D93)# }# NOT RUN {## Computing AIC [in many ways]:(A0 <- AIC(glm.D93))(ll <- logLik(glm.D93))A1 <- -2*c(ll) + 2*attr(ll, "df")A2 <- glm.D93$family$aic(counts, mu=fitted(glm.D93), wt=1) + 2 * length(coef(glm.D93))stopifnot(exprs = { all.equal(A0, A1) all.equal(A1, A2) all.equal(A1, glm.D93$aic)})# }# NOT RUN {## an example with offsets from Venables & Ripley (2002, p.189)utils::data(anorexia, package = "MASS")anorex.1 <- glm(Postwt ~ Prewt + Treat + offset(Prewt), family = gaussian, data = anorexia)summary(anorex.1)# }# NOT RUN {# A Gamma example, from McCullagh & Nelder (1989, pp. 300-2)clotting <- data.frame( u = c(5,10,15,20,30,40,60,80,100), lot1 = c(118,58,42,35,27,25,21,19,18), lot2 = c(69,35,26,21,18,16,13,12,12))summary(glm(lot1 ~ log(u), data = clotting, family = Gamma))summary(glm(lot2 ~ log(u), data = clotting, family = Gamma))## Aliased ("S"ingular) -> 1 NA coefficient(fS <- glm(lot2 ~ log(u) + log(u^2), data = clotting, family = Gamma))tools::assertError(update(fS, singular.ok=FALSE), verbose=interactive())## -> .. "singular fit encountered"# }# NOT RUN {## for an example of the use of a terms object as a formulademo(glm.vr)# }
Run the code above in your browser using DataLab