On Tue, 7 Dec 1999, Wolfgang Koller wrote:
> Hello!
>
> When I know the vector of the variance of the disturbances (i.e. the
> structure of heteroskedasticity), say Var(u_{i})=v_{i},
> what is the weights I should use as argument to lm():
>
> M <- lm(y~x,weigths=1/v)
>
> or
>
> M <- lm(y~x,weights=1/(v^0.5)) ???
>
> In the help pages I did not find a clear answer to this question, so
> please could someone help me!
?lm says:
weights: an optional vector of weights to be used in the
fitting process.
That means it does weighted least-squares with weights w, minimizing
sum(w*e*e) where e = y - X %*% b. I assume that you want weights = 1/v,
as that gives the MLE, but what you use is a modelling decision
(and I am working in fMRI where people deliberately do not use the MLE
weighting).
If it had said it did weighted least squares with weights w, would
that have been clear enough?
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at
stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._