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Ok, and if I would just like to force my slope coefficients to be inside an interval, let's say, between 0 and 1? Is there a way in R to formulate such a constraint regression? Thanks in advance and kind regards, Aljosa Aljosa Aleksandrovic, FRM, CAIA Quantitative Analyst - Convertibles aljosa.aleksandrovic at man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: Bert Gunter [mailto:bgunter.4567 at gmail.com] Sent: Dienstag, 26....

...s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1. Is there an elegant and not too complicated way to do such a constraint regression estimation in R? I would very much appreciate if you could help me with my issue? Thanks a lot in advance and kind regards, Aljosa Aleksandrovic Aljosa Aleksandrovic, FRM, CAIA Quantitative Analyst - Convertibles aljosa.aleksandrovic at man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca]...

...know if they fit your situation. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Apr 26, 2016 at 8:29 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote: > Ok, and if I would just like to force my slope coefficients to be inside an interval, let's say, between 0 and 1? Is there a way in R to formulate such a constraint regression? > > Thanks in advance and kind regards, > Al...

...late your problem appropriately. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Apr 26, 2016 at 5:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote: > Hi all, > > I hope you are doing well? > > I?m currently using the lm() function from the package stats to fit linear multifactor regressions. > > Unfortunately, I didn?t yet find a way to fit linear multifactor regr...

...r the start argument (e.g. Using a 4 factor model with b1, b2, b3 and b4, I tried start = list(b1 = 0.5, b2 = 0.5, b3 = 0.5, b4 = 0.5))? I also tried other starting values ... Hence, the outputs are very sensitive to that start argument? Thanks a lot for your answer in advance! Kind regards, Aljosa Aljosa Aleksandrovic, FRM, CAIA Quantitative Analyst - Convertibles aljosa.aleksandrovic at man.com Tel +41 55 417 76 03 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com] Sent: Dienst...

The nls2 package can be used to get starting values. On Thu, Apr 28, 2016 at 8:42 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote: > Hi Gabor, > > Thanks a lot for your help! > > I tried to implement your nonlinear least squares solver on my data set. I was just wondering about the argument start. If I would like to force all my coefficients to be insid...

...st(b1 = 1, b2 = 2, b3 = 3)) giving the following non-negative coefficients which sum to 1 that are reasonably close to the true values of 0.2, 0.3 and 0.5: > fm$coefficients / sum(fm$coefficients) b1 b2 b3 0.18463 0.27887 0.53650 On Tue, Apr 26, 2016 at 8:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote: > Hi all, > > I hope you are doing well? > > I?m currently using the lm() function from the package stats to fit linear multifactor regressions. > > Unfortunately, I didn?t yet find a way to fit linear multifactor regr...