# deltaMethod

##### Estimate and Standard Error of a Nonlinear Function of Estimated Regression Coefficients

`deltaMethod`

is a generic function that uses the delta method to get a
first-order approximate
standard error for a nonlinear function of a vector of random variables
with known or estimated covariance matrix.

- Keywords
- models, regression

##### Usage

```
deltaMethod(object, ...)
## S3 method for class 'default':
deltaMethod(object, g, vcov., func=g, ...)
## S3 method for class 'lm':
deltaMethod(object, g, vcov.=vcov,
parameterNames=names(coef(object)), ...)
## S3 method for class 'nls':
deltaMethod(object, g, vcov.=vcov, ...)
## S3 method for class 'multinom':
deltaMethod(object, g, vcov. = vcov,
parameterNames = if (is.matrix(coef(object)))
colnames(coef(object)) else names(coef(object)), ...)
## S3 method for class 'polr':
deltaMethod(object, g, vcov.=vcov, ...)
## S3 method for class 'survreg':
deltaMethod(object, g, vcov. = vcov,
parameterNames = names(coef(object)), ...)
## S3 method for class 'coxph':
deltaMethod(object, g, vcov. = vcov,
parameterNames = names(coef(object)), ...)
## S3 method for class 'mer':
deltaMethod(object, g, vcov. = vcov,
parameterNames = names(fixef(object)), ...)
## S3 method for class 'lme':
deltaMethod(object, g, vcov. = vcov,
parameterNames = names(fixef(object)), ...)
## S3 method for class 'lmList':
deltaMethod(object, g, ...)
```

##### Arguments

- object
- For the default method,
`object`

is a vector of`p`

named elements, so`names(object)`

returns a list of`p`

character strings that are the names of the elements of`object`

. For the other - g
- A quoted string that is the function of the parameter estimates to be evaluated; see the details below.
- vcov.
- The (estimated) covariance matrix of the coefficient estimates. For the default method, this argument is required. For all other methods, this argument must either provide the estimated covariance matrix or a function that when applied to
- func
- A quoted string used to annotate output. The default of
`func = g`

is usually appropriate. - parameterNames
- A character vector of length
`p`

that gives the names of the parameters in the same order as they appear in the vector of estimates. This argument will be useful if some of the names in the vector of estimates include special charact - ...
- Additional arguments; not currently used.

##### Details

Suppose $x$ is a random vector of length $p$ that is at least approximately
normally distributed with mean $\beta$ and estimated covariance matrix
$C$. Then any function $g(\beta)$ of $\beta$, is estimated by
$g(x)$, which is in large samples normally distributed with mean $g(\beta)$
and estimated variance $h'Ch$, where $h$ is the first derivative of
$g(\beta)$ with respect to $\beta$ evaluated at $x$. This function
returns both $g(x)$ and its standard error, the square root of the estimated
variance.
The default method requires that you provide $x$ in the argument
`object`

, $C$ in the argument `vcov.`

, and a text expression
in argument `g`

that when evaluated gives the function $g$. The
call `names(object)`

must return the names of the elements of `x`

that are used in the expression `g`

.
Since
the delta method is often applied to functions of regression parameter
estimates, the argument `object`

may be the name of a regression
object from which the the estimates and their estimated variance matrix can
be extracted. In most regression models, estimates are returned by the
`coef(object)`

and the variance matrix from `vcov(object)`

.
You can provide an alternative function for computing the sample variance
matrix, for example to use a sandwich estimator.
For mixed models using `lme4`

or `nlme`

, the coefficient estimates
are returned by the `fixef`

function, while for `multinom`

,
`lmList`

and `nlsList`

coefficient estimates are returned by
`coef`

as a matrix. Methods for these models are provided to get the
correct estimates and variance matrix.
The argument `g`

must be a quoted character string
that gives the function of interest. For example, if you set
`m2 <- lm(Y ~ X1 + X2 + X1:X2)`

, then `deltaMethod(m2,"X1/X2")`

applies the
delta method to the ratio of the coefficient estimates for `X1`

and
`X2`

. The argument `g`

can consist of constants and names
associated with the elements of the vector of coefficient estimates.
In some cases the names may include characters including such as the colon
`:`

used in interactions, or mathematical symbols like `+`

or
`-`

signs that would confuse the
function that computes numerical derivatives, and for this case you can replace
the names of the estimates with the `parameterNames`

argument. For
example, the ratio of the
`X2`

main effect to the interaction term could be computed using
`deltaMethod(m2, "b1*b3", parameterNames=c("b0", "b1", "b2", "b3"))`

.
The name `(Intercept)`

`deltaMethod`

.
For `multinom`

objects, the `coef`

function returns a matrix of
coefficients, with each row giving the estimates for comparisons of one category
to the baseline. The `deltaMethod`

function applies the delta method to
each row of this matrix. Similarly, for `lmList`

and `nlsList`

objects, the delta method is computed for each element of the list of
models fit.
For nonlinear regression objects of type nls, the call `coef(object)`

returns the estimated
coefficient vectors with names corresponding to parameter names.
For example,
`m2 <- nls(y ~ theta/(1 + gamma * x), start = list(theta=2, gamma=3))`

will
have parameters named `c("theta", "gamma")`

.
In many other familiar regression methods, such as lm and glm, the names of
the coefficient estimates are the corresponding variable names, not
parameter names.
For mixed-effects models fit with `lmer`

and `nlmer`

from the
`lme4`

package or `lme`

and `nlme`

from the `nlme`

package,
only fixed-effect coefficients are considered.
For regression models for which methods are not provided, you can extract
the named vector of coefficient estimates and and estimate of its covariance
matrix and then apply the default `deltaMethod`

function.
Earlier versions of `deltaMethod`

included an argument
`parameterPrefix`

that implemented the same functionality as the
`parameterNames`

argument, but it caused several unintended bugs that
were not easily fixed without the change in syntax.

##### Value

- A data.frame with two components
named
`Estimate`

for the estimate,`SE`

for its standard error. The value of`g`

is given as a row label.

##### References

Fox, J. (2008)
*Applied Regression Analysis and Generalized Linear Models*,
Second Edition. Sage.
Fox, J. and Weisberg, S. (2011)
*An R Companion to Applied Regression*, Second Edition, Sage.
S. Weisberg (2005) *Applied
Linear Regression*, Third Edition, Wiley, Section 6.1.2.

##### See Also

First derivatives of `g`

are computed using symbolic differentiation
by the function `D`

.

##### Examples

```
m1 <- lm(time ~ t1 + t2, data = Transact)
deltaMethod(m1, "b1/b2", parameterNames= paste("b", 0:2, sep=""))
deltaMethod(m1, "t1/t2") # use names of preds. rather than coefs.
deltaMethod(m1, "t1/t2", vcov=hccm) # use hccm function to est. vars.
# to get the SE of 1/intercept, rename coefficients
deltaMethod(m1, "1/b0", parameterNames= paste("b", 0:2, sep=""))
# The next example calls the default method by extracting the
# vector of estimates and covariance matrix explicitly
deltaMethod(coef(m1), "t1/t2", vcov.=vcov(m1))
```

*Documentation reproduced from package car, version 2.0-11, License: GPL (>= 2)*