You may be interested in the heplots package for multivariate linear models. For a multivariate regression, it plots a data ellipse of the predicted values (H matrix) together with a data ellipse of the residuals (E ellipse). H is scaled so that it protrudes outside the E ellipse iff the hypothesis is significant by Roy's test.
-Michael Ray Haraf wrote: > 2). My next struggle is to construct prediction ellipse. Both ellipse() and > ellipse.lm() are not giving me the solution to "Sampling from multivariate > multiple regression prediction regions" posted by Iain Pardoe, Mon May 9 > 18:43:46 2005. I am working on the same problem and performed all the steps > he suggested > >> ex7.10 <- > + data.frame(y1 = c(141.5, 168.9, 154.8, 146.5, 172.8, 160.1, 108.5), > + y2 = c(301.8, 396.1, 328.2, 307.4, 362.4, 369.5, 229.1), > + z1 = c(123.5, 146.1, 133.9, 128.5, 151.5, 136.2, 92), > + z2 = c(2.108, 9.213, 1.905, .815, 1.061, 8.603, 1.125)) >> attach(ex7.10) >> f.mlm <- lm(cbind(y1,y2)~z1+z2) >> y.hat <- c(1, 130, 7.5) %*% coef(f.mlm) >> round(y.hat, 2) > y1 y2 > [1,] 151.84 349.63 >> qf.z <- t(c(1, 130, 7.5)) %*% > + solve(t(cbind(1,z1,z2)) %*% cbind(1,z1,z2)) %*% > + c(1, 130, 7.5) >> round(qf.z, 5) > [,1] > [1,] 0.36995 >> n.sigma.hat <- SSD(f.mlm)$SSD # same as t(resid(f.mlm)) %*%resid(f.mlm) >> round(n.sigma.hat, 2) > y1 y2 > y1 5.80 5.22 > y2 5.22 12.57 >> F.quant <- qf(.95,2,3) >> round(F.quant, 2) > [1] 9.55 > > >>From here how could I calculate a 95% prediction ellipse for y=(y1,y2) at >>(z1,z2)=(130,7.5) using either ellipse or ellipse.lm? y1 would be the x-axis >>and y2, the y-axis. The center is different from (0,0) and I don't know what >>would be the appropriate x (the lm object). Should I used predicted values or >>residuals? In both cases I have vectors which is different from the example >>given with ellipse.lm > > 3). Lastly but not the least, would be too ambitious to draw the axes (i.e, > the eigenvalues) to the ellipse? > > Thanks and very kind regards, > Ray > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
