CCID - 1 year ago 127

R Question

I'm summing the predicted values from a linear model with multiple predictors, as in the example below, and want to calculate the combined variance, standard error and confidence intervals for this sum.

Here is an example with built-in data set

`head(trees)`

lm.tree <- lm(Volume ~ poly(Girth,2), data = trees)

summary(lm.tree)

Suppose I have a set of girths (10,12,14,16) for which I want to predict the total volume:

`pr <- predict(lm.tree, newdata = list(Girth = c(10,12,14,16)), type = "response", se.fit = T)`

sum(pr$fit)

# [1] 111.512

Similar questions are here (for GAMs), but I'm not sure how to proceed with the

`vcov(lm.trees)`

I'd be grateful for a reference for the method.

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Answer Source

**Basically you need to obtain full variance-covariance matrix, then sum all its elements.** Here is small proof:

The proof here is using another theorem, which you can find from Covariance-wikipedia:

Specifically, the linear transform we take is a column matrix of all 1's. The resulting quadratic form is computed as following, with all "a_ij" being 1.

**Obtain full variance-covariance matrix for prediction**

The most trivial way to obtain variance-covariance matrix, is based on `vcov`

. For your fitted model `lm.tree`

, prediction data `newdat`

and prediction matrix `Xp`

:

```
## your model
lm.tree <- lm(Volume ~ poly(Girth,2), data = trees)
## newdata
newdat <- list(Girth = c(10,12,14,16))
## prediction matrix
poly_Xp <- poly(unlist(newdat), degree = 2,
coefs = attr(lm.tree$model$"poly(Girth, 2)", "coefs"),
simple = TRUE)
Xp <- cbind(1, poly_Xp)
# 1 2
#[1,] 1 -0.18898835 0.1098920
#[2,] 1 -0.07263008 -0.1036759
#[3,] 1 0.04372819 -0.1776927
#[4,] 1 0.16008645 -0.1121585
```

We can do:

```
VCOV1 <- Xp %*% vcov(lm.tree) %*% t(Xp)
# [,1] [,2] [,3] [,4]
#[1,] 0.89022938 0.3846809 0.04967582 -0.1147858
#[2,] 0.38468089 0.5369327 0.52828797 0.3587467
#[3,] 0.04967582 0.5282880 0.73113553 0.6582185
#[4,] -0.11478583 0.3587467 0.65821848 0.7836294
```

But a much more efficient way is via my function:

```
fast_vcov <- function (lmObject, Xp, diag = TRUE) {
## compute Qt
QR <- lmObject$qr ## qr object of fitted model
piv <- QR$pivot ## pivoting index
r <- QR$rank ## model rank / numeric rank
if (is.unsorted(piv)) {
## pivoting has been done
Qt <- forwardsolve(t(QR$qr), t(Xp[, piv]), r)
} else {
## no pivoting is done
Qt <- forwardsolve(t(QR$qr), t(Xp), r)
}
## residual variance
sigma2 <- sum(residuals(lmObject)^2) / df.residual(lmObject)
## return
if (diag) {
## return point-wise prediction variance
## no need to compute full hat matrix
return(colSums(Qt ^ 2) * sigma2)
} else {
## return full variance-covariance matrix of predicted values
return(crossprod(Qt) * sigma2)
}
}
```

With `diag = TRUE`

, only diagonals of the variance-covariance are returned. These are point-wise variance, sufficient to produce point-wise confidence or prediction interval. Note, computing these diagonals do not need explicit formation of full hat matrix.

With `diag = FALSE`

, full hat matrix will be returned by a more expensive matrix multiplication. But it is still faster than the trivial way based on `vcov`

.

Here, we want:

```
## full variance-covariance matrix
VCOV <- fast_vcov(lm.tree, Xp, diag = FALSE)
# [,1] [,2] [,3] [,4]
#[1,] 0.89022938 0.3846809 0.04967582 -0.1147858
#[2,] 0.38468089 0.5369327 0.52828797 0.3587467
#[3,] 0.04967582 0.5282880 0.73113553 0.6582185
#[4,] -0.11478583 0.3587467 0.65821848 0.7836294
```

As you can see, it is exactly as same as `VCOV1`

obtained from the trivial method.

Obtaining predicted values is easy:

```
pred <- drop(Xp %*% coef(lm.tree))
```

In case you feel interested, you can compare those values with what is returned by `predict.lm`

:

```
pr <- predict(lm.tree, newdat, se.fit = TRUE)
pr$fit
# 1 2 3 4
#15.31863 22.33400 31.38568 42.47365
pred
# 1 2 3 4
#15.31863 22.33400 31.38568 42.47365
pr$se.fit
# 1 2 3 4
#0.9435197 0.7327569 0.8550646 0.8852284
sqrt(diag(VCOV))
# 0.9435197 0.7327569 0.8550646 0.8852284
```

So, we are definitely doing correct.

Finally, the sum of all predicted values is

```
sum(pred)
# 111.512
```

with variance

```
sum(VCOV)
# 6.671575
```

Standard error is just its square root of variance.

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