search for: wls

How does one specify the weights for WLS in the systemfit command ? That is, there is a weight option in lm(), but there doesn't seem to be weight option for systemfit("WLS") Thanks!

Dear All, I've been trying to run a Weighted Least Squares (WLS) regression: Dependent variables: a 60*200 matrix (*Rit*) with 200 companies and 60 dates for each company Independent variables: a 60*4 matrix (*Ft*) with 4 factors and 60 dates for each factor Weights: a 60*200 matrix (*Wit*) with weights for 200 companies and 60 dates for each company The WLS...

I would like to obtain Confidence Intervals for the estimates (unstandardized beta weights) of each predictor in a WLS regression: m1 = lm(x~ x1+x2+x3, weights=W, data=D) SPSS offers that output by default, and I am not able to find a way to do this in R. I read through predict.lm, but I do not find a way to get the CIs for multiple independent variables. Thank you Torvon [[alternative HTML version deleted]]

I might be sorry for asking this question :-) I have two equations and I tried to estimate them individually with "lm" and "gls", and then in a system (using systemfit) with "OLS", "WLS" and "SUR". Quite surprisingly (for myself at least) the results are identical to the last digit. Could someone (please!) give a hint as to what am I doing wrong? Thanks, mihai --------------------------------- [[alternative HTML version deleted]]

Hi all, I understand that gls() uses generalized least squares, but I thought that maybe optimum weights from gls might be used as weights in lm (as shown below), but apparently this is not the case. See: library(nlme) f1 <- gls(Petal.Width ~ Species / Petal.Length, data = iris, weights = varIdent(form = ~ 1 | Species)) aa <- attributes(summary(f1)$modelStruct$varStruct)$weights f2 <-

Greetings from Rio de Janeiro, Brazil. I am looking for advice / references on binary logistic regression with weighted least squares (using lrm & weights), on the following context: 1) unbalanced sample (n0=10000, n1=700); 2) sampling weights used to rebalance the sample (w0=1, w1=14.29); e 3) after modelling, adjust the intercept in order to reflect the expected % of 1?s in the population

Hello. I'm am trying to follow a recommendation to deal with a dependent variable in a linear regression. I read that, due to the positive trend in my dependent variable residual vs mean function, I should 1) run a linear regression to estimate the standard deviations from this trend, and 2) run a second linear regression and use 1 / variance as weight. These might be terribly stupid

...s <- 1/Sigma2 for(i in 1:length(Weights)){ Weights[which(ifelse(Weights<=0.5,TRUE,FALSE))] <- 0.5 Weights[which(ifelse(Weights>=200,TRUE,FALSE))] <- 200 Sigma2[which(ifelse(Sigma2<=0,TRUE,FALSE))] <- 0 # set -ve Var(Y) to zero #+++++++++++++++++++++++++++ Fit WLS +++++++++++++++++++++++++++++++++++++++++++ fitwls <- lm(formula = fmla1,weights = Weights,data = data.frame(cbind(X,Y))) bhat <- coef(fitwls) ############################## Y = Log(Z) Scale #################################### Yhat <- X%*%bhat # predicted values mu <-...

I have a WLS regression with 1 dependent variable and 3 independent variables. I wish to constrain the predicted values (the fitted values) so that they are greater than zero (i.e. they are positive). I do not know how to impose this constraint in R. Please respond if you have any suggestions. There are som...

R 1.6.2 for Windows, Win2k: I have fitted a weighted least squares model using the code "wls.out <- gls(y ~ x1 + x2 + x3 + x4 + x5 + x6 - 1, data = foo.frame, weights = varConstPower(form = ~ fitted(.), fixed = list(power = 0.5), const = 1))" The data has 62 rows and the response is zero when the covariates are zero. The purpose of the model was to account for the the fact that...

...7 at cbfe-dev-db01 Connecting to cbfe-dev-db01... OpenSSH_3.7.1p2, SSH protocols 1.5/2.0, OpenSSL 0.9.7c 30 Sep 2003 debug1: Reading configuration data /usr/local/etc/ssh_config debug1: Connecting to cbfe-dev-db01 [10.2.194.23] port 22. debug1: Connection established. debug1: identity file /appdata/wls/cbfe/config/cbfesit/.ssh/id_rsa type 1 debug1: identity file /appdata/wls/cbfe/config/cbfesit/.ssh/id_dsa type -1 debug1: Remote protocol version 1.99, remote software version OpenSSH_3.7.1p2 debug1: match: OpenSSH_3.7.1p2 pat OpenSSH* debug1: Enabling compatibility mode for protocol 2.0 debug1: Lo...

Hi, I load my data set and separate it as folowing: presu <- read.table("C:/_Ricardo/Paty/qtdata_f.txt", header=TRUE, sep="\t", na.strings="NA", dec=".", strip.white=TRUE) dep<-presu[,3]; exo<-presu[,4:92]; Now, I want to use it using the wls and quantreg packages. How I change the data classes for mle and rq objects? Thanks a lot, ________________________________________ Ricardo Gon?alves Silva, M. Sc. Apoio aos Processos de Modelagem Matem?tica Econometria & Inadimpl?ncia Serasa S.A. (11) - 6847-8889 ricardosilva at serasa.com.br...

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 Departm...

Hi All, We have a requirement for a common replicated filesystem between our two datacentres, mostly for DR and patching purposes when running Weblogic clusters. For those that are not acquainted, Weblogic has a persistent store that it uses for global transaction logs amongst other things. This store can be hosted on shared disk (usually NFS), or in recent versions within an Oracle DB.

I found this paper on ANOVA on unequal error variance. Has this be incorporated to any R package? Is there any textbook that discuss the problem of ANOVA on unequal error variance in general? http://www.jstor.org/stable/2532947?cookieSet=1

...hen qr.coef will end up with an error: x <- cbind(x1 = rep(0, 10), x2 = rep(0, 10)) y <- rep(0, 10) q <- qr.default(x) qr.coef(q, y) Error in qr.coef(q, y) : object 'pivotted' not found This happens only when x any y are all zeros. I found this problem when I implement a qr-based wls which stops when all weights are zero and the x matrix has colnames. A brief debug on qr.coef shows that when `nam` is not NULL, no branch of code leads to creating `pivotted` before using it finally.? Best, Kun

...ge. Every time the Windows GUI crashes. For example library(gstat) data(meuse) x <- variogram(zinc ~ 1, ~x + y, meuse) v <- vgm(140000, "Sph", 800, nug = 10000) plot(x, model = fit.variogram(x, model = v, fit.method=5)) Other fit methods are non problematic (eg. fit.method=7 for WLS or fit.method=1 for OLS) I've tried the code on Windows XP, 98 and NT and all fail, how about non-Windows platforms? Any suggestions? Many thanks Dave

I run 9 WLS regressions in R, with 7 predictors each. What I want to do now is compare: (1) The strength of predictors within each model (assuming all predictors are significant). That is, I want to say whether x1 is stronger than x2, and also say whether it is significantly stronger. I compare strength by si...

Hi! I have used the Matrix package (Version: 0.995-10) successfully to obtain the OLS solution for a problem where the design matrix X is 44000x6000. X is very sparse (about 80000 non-zeros elements). Now I want to do WLS: (X'WX)^-1X'Wy I tried W=Diagonal(length(w),w) and wX=solve(X,W) but after various minutes R gives a not enough memory error (Im using a 64bit machine with 16Gigs of RAM). I ended up doing this: wX=Matrix(as.matrix(X)*sqrt(w),sparse=TRUE) coefs1=as.vector(solve(crossprod(wX),crossprod(X,...

...______ Hi, I load my data set and separate it as folowing: presu <- read.table("C:/_Ricardo/Paty/qtdata_f.txt", header=TRUE, sep="\t", na.strings="NA", dec=".", strip.white=TRUE) dep<-presu[,3]; exo<-presu[,4:92]; Now, I want to use it using the wls and quantreg packages. How I change the data classes for mle and rq objects? Thanks a lot, Ricardo ______________________________________________ R-help at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/post...