Documentation

coefTest

Class: GeneralizedLinearModel

Linear hypothesis test on generalized linear regression model coefficients

Syntax

p = coefTest(mdl)
p = coefTest(mdl,H)
p = coefTest(mdl,H,C)
[p,F] = coefTest(mdl,...)
[p,F,r] = coefTest(mdl,...)

Description

p = coefTest(mdl) computes the p-value for an F test that all coefficient estimates in mdl are zero, except for the intercept term.

p = coefTest(mdl,H) performs an F test that H*B = 0, where B represents the coefficient vector.

p = coefTest(mdl,H,C) performs an F test that H*B = C.

[p,F] = coefTest(mdl,...) returns the F test statistic.

[p,F,r] = coefTest(mdl,...) returns the numerator degrees of freedom for the test.

Input Arguments

mdl

Generalized linear model, as constructed by fitglm or stepwiseglm.

H

Numeric matrix having one column for each coefficient in the model. When H is an input, the output p is the p-value for an F test that H*B = 0, where B represents the coefficient vector.

C

Numeric vector with the same number of rows as H. When C is an input, the output p is the p-value for an F test that H*B = C, where B represents the coefficient vector.

Output Arguments

p

p-value of the F test (see Definitions).

F

Value of the test statistic for the F test (see Definitions).

r

Numerator degrees of freedom for the F test (see Definitions). The F statistic has r degrees of freedom in the numerator and mdl.DFE degrees of freedom in the denominator.

Definitions

Test Statistics

The p-value, F statistic, and numerator degrees of freedom are valid under these assumptions:

  • The data comes from a model represented by the formula mdl.Formula.

  • The observations are independent conditional on the predictor values.

Suppose these assumptions hold. Let β represent the (unknown) coefficient vector of the linear regression. Suppose H is a full-rank matrix of size r-by-s, where s is the number of terms in β. Let v be a vector the same size as β. The following is a test statistic for the hypothesis that  = v:

F=(Hβ^v)(HCH)1(Hβ^v).

Here β^ is the estimate of the coefficient vector β in mdl.Coefs, and C is the estimated covariance of the coefficient estimates in mdl.CoefCov. When the hypothesis is true, the test statistic F has an F Distribution with r and u degrees of freedom.

Examples

collapse all

Test Generalized Linear Model Coefficients

Test a generalized linear model to see if its coefficients differ from zero.

Create a generalized linear regression model of Poisson data.

X = 2 + randn(100,1);
mu = exp(1 + X/2);
y = poissrnd(mu);
mdl = fitglm(X,y,'y ~ x1','distr','poisson');

Test whether the fitted model has coefficients that differ significantly from zero.

p = coefTest(mdl)
p =

   1.2461e-30

There is no doubt that the coefficient of x1 is nonzero.

Related Examples

Alternatives

The values of commonly used test statistics are available in the mdl.Coefficients table.

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