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POHow is the intercept computed in the GLM fit?
 

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  1. POHow is the intercept computed in the GLM fit?
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    <p>I have been reading the <a href="https://svn.r-project.org/R/trunk/src/library/stats/R/glm.R" rel="nofollow noreferrer">code</a> used by R to fit a <em>generalized linear model</em> (GLM), since the source-code of R is freely available. The algorithm used is called <em>iteratively reweighted least squares</em> (IRLS), which is a fairly documented algorithm. For each iteration, there is a call to a Fortran function to solve the weighted least squares problem.</p> <p>From the end-user's viewpoint, for a logistic regression for instance, a call in R looks just like this:</p> <pre><code>y &lt;- rbinom(100, 1, 0.5) x &lt;- rnorm(100) glm(y~x, family=binomial)$coefficients </code></pre> <p>And if you do not want to use an <em>intercept</em>, either of these calls is okay:</p> <pre><code>glm(y~x-1, family=binomial)$coefficients glm(y~x+0, family=binomial)$coefficients </code></pre> <p>However, I cannot manage to understand how the <em>formula</em>, i.e. <code>y~x</code> or <code>y~x-1</code>, is making sense in the code and being understood as for whether to use an intercept or not. I was looking for a part of the code where a column of ones would be bound to <code>x</code>, but it seems there is none.</p> <p>Thanks.</p> <p>PS: As far as I have read, the boolean intercept which appears in the function called <code>glm.fit</code> is not the same as the intercept which I am referring to. And it is the same for the <em>offset</em>.</p> <p>The documentation about <code>glm</code> and <code>glm.fit</code> is <a href="http://sekhon.berkeley.edu/stats/html/glm.html" rel="nofollow noreferrer">here</a>.</p>
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