`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.

`deltaMethod(object, ...)`# S3 method for default
deltaMethod(object, g., vcov., func=g., constants, level=0.95,
rhs, ..., envir=parent.frame())
# S3 method for lm
deltaMethod (object, g., vcov.=vcov(object, complete=FALSE),
parameterNames=names(coef(object)), ..., envir=parent.frame())
# S3 method for nls
deltaMethod(object, g., vcov.=vcov(object, complete=FALSE), ..., envir=parent.frame())
# S3 method for multinom
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = if (is.matrix(coef(object)))
colnames(coef(object)) else names(coef(object)), ..., envir=parent.frame())
# S3 method for polr
deltaMethod (object, g., vcov.=vcov(object, complete=FALSE), ..., envir=parent.frame())
# S3 method for survreg
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(coef(object)), ..., envir=parent.frame())
# S3 method for coxph
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(coef(object)), ..., envir=parent.frame())
# S3 method for mer
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame())
# S3 method for merMod
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame())
# S3 method for lme
deltaMethod (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame())
# S3 method for lmList
deltaMethod (object, g., ..., envir=parent.frame())

object

For the default method, `object`

is either (1) 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`

; or (2) a model object for which there are `coef`

and `vcov`

methods,
and for which the named coefficient vector returned by `coef`

is asymptotically normally distributed with asymptotic
covariance matrix returned by `vcov`

.
For the other methods, `object`

is a
regression object for which `coef(object)`

or `fixef(object)`

returns a vector of parameter
estimates.

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 `object`

returns a covariance matrix. The default is
to use the function `vcov`

.

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 characters, like `I(x2^2)`

, or
`x1:x2`

that will confuse the numerical differentiation function. See
details below.

constants

This argument is a named vector whose elements are constants that
are used in the `f`

argument. It isn't generally necessary to specify this argument but it may be convenient to do so.

level

level for confidence interval, default `0.95`

.

rhs

hypothesized value for the specified function of parameters; if absent no hypothesis test is performed.

...

Used to pass arguments to the generic method.

envir

Environment in which `g.`

is evaluated; not normally specified by the user.

An object of class `"deltaMethod"`

, inheriting from `"data.frame"`

, for which a `print`

method is provided. The object contains columns
named `Estimate`

for the estimate, `SE`

for its standard error, and columns for confidence limits and possibly a hypothesis test.
The value of `g.`

is given as a row label.

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 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 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)`

” used for the intercept in linear and generalized
linear models is an exception, and it will be correctly interpreted by
`deltaMethod`

. Another option is to use back-ticks to quote nonstandard R names, as in `deltaMethod(m2,"X1/`X1:X2`")`

.

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 produced by the `nls`

function, 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 models, such as those produced by `lm`

and `glm`

, the names of
the coefficient estimates are the corresponding regressor names, not
parameter names.

For mixed-effects models fit with `lmer`

and `glmer`

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.

*Note:* Earlier versions of `deltaMethod`

included an argument
`parameterPrefix`

that implemented the same functionality as the
`parameterNames`

argument, but which caused several problems that
were not easily fixed without the change in syntax.

Fox, J. (2016)
*Applied Regression Analysis and Generalized Linear Models*,
Third Edition. Sage.

Fox, J. and Weisberg, S. (2019)
*An R Companion to Applied Regression*, Third Edition, Sage.

Weisberg, S. (2014) *Applied
Linear Regression*, Fourth Edition, Wiley, Section 6.1.2.

First derivatives of `g.`

are computed using symbolic differentiation
by the function `D`

.

# NOT RUN { m1 <- lm(time ~ t1 + t2, data = Transact) deltaMethod(m1, "b1/b2", parameterNames= paste("b", 0:2, sep="")) deltaMethod(m1, "t1/t2", rhs=1) # use names of preds. rather than coefs. deltaMethod(m1, "t1/t2", vcov=hccm) # use hccm function to est. vars. deltaMethod(m1, "1/(Intercept)") # The next example invokes the default method by extracting the # vector of estimates and covariance matrix explicitly deltaMethod(coef(m1), "t1/t2", vcov.=vcov(m1)) # }