R help - Aug 2008 - Multivariate Regression with Weights

Hi all,
  I'd like to fit a multivariate regression with the variance of the error
term porportional to the predictors, like the WLS in the univariate case.
  y_1~x_1+x_2
  y_2~x_1+x_2
  var(y_1)=x_1*sigma_1^2
  var(y_2)=x_2*sigma_2^2
  cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2

 How can I specify this in R? Is there a corresponding function to the
univariate specification lm(y~x,weights=x)?? Thanks.

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang@munichreamerica.com<mailto:yzhang@munichreamerica.com>


	[[alternative HTML version deleted]]

Hi all,
  I'd like to fit a multivariate regression with the variance of the error
term porportional to the predictors, like the WLS in the univariate case.
  y_1~x_1+x_2
  y_2~x_1+x_2
  var(y_1)=x_1*sigma_1^2
  var(y_2)=x_2*sigma_2^2
  cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2

 How can I specify this in R? Is there a corresponding function to the
univariate specification lm(y~x,weights=x)?? Thanks.



Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang@munichreamerica.com<mailto:yzhang@munichreamerica.com>


	[[alternative HTML version deleted]]

Thanks.


Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang at munichreamerica.com

-----Original Message-----
From: markleeds at verizon.net [mailto:markleeds at verizon.net]
Sent: Monday, August 04, 2008 5:15 PM
To: Zhang Yanwei - Princeton-MRAm
Subject: RE: [R] Multivariate Regression with Weights

  the systemfit package can do that and the documentation is quite nice also.


On Mon, Aug 4, 2008 at  4:39 PM, Zhang Yanwei - Princeton-MRAm wrote:
> Hi all,
>   I'd like to fit a multivariate regression with the variance of the
> error term porportional to the predictors, like the WLS in the
> univariate case.
>   y_1~x_1+x_2
>   y_2~x_1+x_2
>   var(y_1)=x_1*sigma_1^2
>   var(y_2)=x_2*sigma_2^2
>   cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2
>
>  How can I specify this in R? Is there a corresponding function to the
> univariate specification lm(y~x,weights=x)?? Thanks.
>
> Sincerely,
> Yanwei Zhang
> Department of Actuarial Research and Modeling Munich Re America
> Tel: 609-275-2176
> Email: yzhang at munichreamerica.com<mailto:yzhang at
munichreamerica.com>
>
>
>       [[alternative HTML version deleted]]
>
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