Displaying 2 results from an estimated 2 matches for "myestim".
Did you mean:
estim
2009 Sep 20
2
missing level of a nested factor results in an NA in lm output
...? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
Residual standard error: 0.4944 on 10 degrees of freedom
Multiple R-squared: 0.8004, Adjusted R-squared: 0.4211
F-statistic: 2.11 on 19 and 10 DF, p-value: 0.1133
I then use the estimable function to estimate a linear combination of
the parameter estimates.
myEstimate <- cbind(
'(Intercept)' = 1,
'GROUP1' = 1,
'FEATURE4227:GROUP1' = 0.5,
'FEATURE6374:GROUP1' = 0.5,
'GROUP0:PATIENT2' = 1
)
rownames(myEstimate) <- "test"
> estimable(fit, myEstimate)
Estimate Std. Error t value DF...
2013 Jan 06
0
fPortfolio-portfolio optimization
...ction using the "shrinkEstimator" as template. I will use the shrunk estimation of the covariance matrix with my own set of predicted returns. My code is below.
Many thanks,
Darius
-----------------------------------------------------------------------
b=ts(ret.forecast[1,])
mu.pred=b
myEstimator=function(x)
{
stopifnot(inherits(x, "timeSeries"))
x.mat = x
mu = mu.pred
Sigma = .cov.shrink(x = x.mat, verbose = FALSE, ...)
attr(Sigma, "lambda.var") <- NULL
attr(Sigma, "lambda.var.estimated") <- NULL
list(mu = mu, Sigma = Sig...