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2006 Oct 27
2
Multivariate regression
...o a vector, say, Yvec (n*k x 1). Create Xvec (n*k, p*k) such
that it is made up of block matrices Bij (k x k), where Bij is a diagonal
matrix with X_ij as the diagonal (i = 1,.n, and j = 1,.,p). Now I can use
"lm" in a univariate mode to regress Yvec against Xvec, with covariance
matrix Vvec (n*k x n*k). Vvec is a block-diagonal matrix with blocks of V
along the diagonal. This seems like a valid approach, but I still don't
know how to specify the covariance structure to do weighted least squares.
Any help is appreciated.
Best,
Ravi.
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