lm                   package:stats                   R Documentation

_F_i_t_t_i_n_g _L_i_n_e_a_r _M_o_d_e_l_s

_D_e_s_c_r_i_p_t_i_o_n:

     'lm' is used to fit linear models. It can be used to carry out
     regression, single stratum analysis of variance and analysis of
     covariance (although 'aov' may provide a more convenient interface
     for these).

_U_s_a_g_e:

     lm(formula, data, subset, weights, na.action,
        method = "qr", model = TRUE, x = FALSE, y = FALSE, qr = TRUE,
        singular.ok = TRUE, contrasts = NULL, offset, ...)

_A_r_g_u_m_e_n_t_s:

 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'.

    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 'lm' is called.

  subset: an optional vector specifying a subset of observations to be
          used in the fitting process.

 weights: an optional vector of weights to be used in the fitting
          process.  Should be 'NULL' or a numeric vector. If non-NULL,
          weighted least squares is used with weights 'weights' (that
          is, minimizing 'sum(w*e^2)'); otherwise ordinary least
          squares is used.  See also 'Details',

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.

  method: the method to be used; for fitting, currently only 'method =
          "qr"' is supported; 'method = "model.frame"' returns the
          model frame (the same as with 'model = TRUE', see below).

model, x, y, qr: logicals.  If 'TRUE' the corresponding components of
          the fit (the model frame, the model matrix, the response, the
          QR decomposition) are returned. 

singular.ok: logical. If 'FALSE' (the default in S but not in R) a
          singular fit is an error.

contrasts: an optional list. See the 'contrasts.arg' of
          'model.matrix.default'.

  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 are
          specified their sum is used.  See 'model.offset'.

     ...: additional arguments to be passed to the low level regression
          fitting functions (see below).

_D_e_t_a_i_l_s:

     Models for 'lm' are specified symbolically.  A typical model 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'.  A terms specification of the
     form 'first + second' indicates all the terms in 'first' together
     with all the terms in 'second' with 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'.

     If the formula includes an 'offset', this is evaluated and
     subtracted from the response.

     If 'response' is a matrix a linear model is fitted separately by
     least-squares to each column of the matrix.

     See 'model.matrix' for some further details.  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 (see
     'aov' and 'demo(glm.vr)' for an example).

     A formula has an implied intercept term.  To remove this use
     either 'y ~ x - 1' or 'y ~ 0 + x'.  See 'formula' for more details
     of allowed formulae.

     Non-'NULL' 'weights' can be used to indicate that different
     observations have different variances (with the values in
     'weights' being inversely proportional to the variances); 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 (including the case that there are w_i observations
     equal to y_i and the data have been summarized).

     'lm' calls the lower level functions 'lm.fit', etc, see below, for
     the actual numerical computations.  For programming only, you may
     consider doing likewise.

     All of 'weights', 'subset' and 'offset' are evaluated in the same
     way as variables in 'formula', that is first in 'data' and then in
     the environment of 'formula'.

_V_a_l_u_e:

     'lm' returns an object of 'class' '"lm"' or for multiple responses
     of class 'c("mlm", "lm")'.

     The functions 'summary' and 'anova' are used to obtain and print a
     summary and analysis of variance table of the results.  The
     generic accessor functions 'coefficients', 'effects',
     'fitted.values' and 'residuals' extract various useful features of
     the value returned by 'lm'.

     An object of class '"lm"' is a list containing at least the
     following components:

coefficients: a named vector of coefficients

residuals: the residuals, that is response minus fitted values.

fitted.values: the fitted mean values.

    rank: the numeric rank of the fitted linear model.

 weights: (only for weighted fits) the specified weights.

df.residual: the residual degrees of freedom.

    call: the matched call.

   terms: the 'terms' object used.

contrasts: (only where relevant) the contrasts used.

 xlevels: (only where relevant) a record of the levels of the factors
          used in fitting.

  offset: the offset used (missing if none were used).

       y: if requested, the response used.

       x: if requested, the model matrix used.

   model: if requested (the default), the model frame used.

na.action: (where relevant) information returned by 'model.frame' on
          the special handling of 'NA's.


     In addition, non-null fits will have components 'assign',
     'effects' and (unless not requested) 'qr' relating to the linear
     fit, for use by extractor functions such as 'summary' and
     'effects'.

_U_s_i_n_g _t_i_m_e _s_e_r_i_e_s:

     Considerable care is needed when using 'lm' with time series.

     Unless 'na.action = NULL', the time series attributes are stripped
     from the variables before the regression is done.  (This is
     necessary as omitting 'NA's would invalidate the time series
     attributes, and if 'NA's are omitted in the middle of the series
     the result would no longer be a regular time series.)

     Even if the time series attributes are retained, they are not used
     to line up series, so that the time shift of a lagged or
     differenced regressor would be ignored.  It is good practice to
     prepare a 'data' argument by 'ts.intersect(..., dframe = TRUE)',
     then apply a suitable 'na.action' to that data frame and call 'lm'
     with 'na.action = NULL' so that residuals and fitted values are
     time series.

_N_o_t_e:

     Offsets specified by 'offset' will not be included in predictions
     by 'predict.lm', whereas those specified by an offset term in the
     formula will be.

_A_u_t_h_o_r(_s):

     The design was inspired by the S function of the same name
     described in Chambers (1992).  The implementation of model formula
     by Ross Ihaka was based on Wilkinson & Rogers (1973).

_R_e_f_e_r_e_n_c_e_s:

     Chambers, J. M. (1992) _Linear models._ Chapter 4 of _Statistical
     Models in S_ eds J. M. Chambers and T. J. Hastie, Wadsworth &
     Brooks/Cole.

     Wilkinson, G. N. and Rogers, C. E. (1973) Symbolic descriptions of
     factorial models for analysis of variance. _Applied Statistics_,
     *22*, 392-9.

_S_e_e _A_l_s_o:

     'summary.lm' for summaries and 'anova.lm' for the ANOVA table;
     'aov' for a different interface.

     The generic functions 'coef', 'effects', 'residuals', 'fitted',
     'vcov'.

     'predict.lm' (via 'predict') for prediction, including confidence
     and prediction intervals; 'confint' for confidence intervals of
     _parameters_.

     'lm.influence' for regression diagnostics, and 'glm' for
     *generalized* linear models.

     The underlying low level functions, 'lm.fit' for plain, and
     'lm.wfit' for weighted regression fitting.

     More 'lm()' examples are available e.g., in 'anscombe',
     'attitude', 'freeny', 'LifeCycleSavings', 'longley', 'stackloss',
     'swiss'.

     'biglm' in package 'biglm' for an alternative way to fit linear
     models to large datasets (especially those with many cases).

_E_x_a_m_p_l_e_s:

     require(graphics)

     ## Annette Dobson (1990) "An Introduction to Generalized Linear Models".
     ## Page 9: Plant Weight Data.
     ctl <- c(4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14)
     trt <- c(4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69)
     group <- gl(2,10,20, labels=c("Ctl","Trt"))
     weight <- c(ctl, trt)
     anova(lm.D9 <- lm(weight ~ group))
     summary(lm.D90 <- lm(weight ~ group - 1))# omitting intercept
     summary(resid(lm.D9) - resid(lm.D90)) #- residuals almost identical

     opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
     plot(lm.D9, las = 1)      # Residuals, Fitted, ...
     par(opar)

     ## model frame :
     stopifnot(identical(lm(weight ~ group, method = "model.frame"),
                         model.frame(lm.D9)))

     ### less simple examples in "See Also" above