Displaying 20 results from an estimated 20000 matches similar to: "Rolling regression - o/p selected coefficients"
2008 Jul 29
1
rolling regression between adjacent columns
Hi everyone,
I am trying to apply linear regression to adjacent columns in a matrix (i.e.
col1~col2; col3~col4; etc.). The columns in my matrix come with identifiers
at the top of each column, but when I try to use these identifiers to
reference the columns in the regression function using rollapply(), the
columns are not recognised and the regression breaks down. Is there a more
robust way to
2008 Aug 02
1
problem with nested loop for regression
Hi everyone,
I'm experiencing difficulty getting the results I want when I use a nested
for loop. I have a data set to which I perform some calculations, and then
try to apply a regression over a rolling window. The code runs, but the
regression results I am getting (intercept and slope) are simply the same,
repeated again and again in the results matrix. The regression does not seem
to be
2012 Nov 25
3
Comparing linear regression coefficients to a slope of 1
Hi!
I have a question that is probably very basic, but I cannot figure out how
to do it. I simply need to compare the significance of a regression slope
against a slope of 1, instead of the default of zero.
I know this topic has been posted before, and I have tried to use the
advice given to others to fix my problem. I tried the offset command based
on one of these advice threads as follows:
2013 May 05
1
slope coefficient of a quadratic regression bootstrap
Hello,
I want to know if two quadratic regressions are significantly different.
I was advised to make the test using
step 1 bootstrapping both quadratic regressions and get their slope
coefficients.
(Let's call the slope coefficient *â*^1 and *â*^2)
step 2 use the slope difference *â*^1-*â*^2 and bootstrap the slope
coefficent
step 3 find out the sampling distribution above and
2016 Apr 26
0
Linear Regressions with constraint coefficients
Have you tried web searching on " R constrained linear regression" or
similar. There seemed to be resources related to your issues when I
looked. You might also search on rseek.org . There are apparently
several packages that do regression with constraints, but I don't know
if they fit your situation.
Cheers,
Bert
Bert Gunter
"The trouble with having an open mind is that
2008 Jun 09
1
Systemfit (was RE: How to force two regression coefficients to be equal but opposite in sign?)
Thank you, Greg, and also to Scott Ellison, who replied privately. I am
in the process of trying out both suggestions.
After I sent my initial message, I came across the Systemfit package,
which allows specification of constraints on parameters. In theory,
this should solve my problem perfectly. However, I was not able to get
it to work with my data, as every attempt yielded the following
2016 Apr 26
0
Linear Regressions with constraint coefficients
This is a quadratic programming problem that you can solve using
either a quadratic programming solver with constraints or a general
nonlinear solver with constraints. See
https://cran.r-project.org/web/views/Optimization.html
for more info on what is available.
Here is an example using a nonlinear least squares solver and
non-negative bound constraints. The constraint that the coefficients
sum
2016 Apr 26
2
Linear Regressions with constraint coefficients
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
2016 Apr 26
1
Linear Regressions with constraint coefficients
If the slope coefficients sum to a constant, the regressors are
dependent and so a unique solution is impossible (an infinity of
solutions would result). So I think you have something going on that
you don't understand and should consult a local statistician to help
you formulate your problem appropriately.
Cheers,
Bert
Bert Gunter
"The trouble with having an open mind is that people
2010 Sep 06
1
Correct coefficients from treatment contrasts?
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2016 Apr 28
0
Linear Regressions with constraint coefficients
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
2004 Feb 09
1
Subset function of lm(); "rolling regressions"
Folks,
I asked a question on this mailing list about the subset support of
lm(). In a flash, I got three helpful responses from
Rajarshi Guha <rxg218 at psu.edu> <http://jijo.cjb.net>
Erin Hodgess <hodgess at gator.uhd.edu>
and
Peter Dalgaard <p.dalgaard at biostat.ku.dk>
:-) and it was just great.
The mistake I was making was in not understanding the notion of a
2007 Feb 08
0
How to get p-values, seperate vectors of regression coefficients and their s.e. from the "yags" output?
Hello R-users:
I am using "yags" for fitting GEE which is giving me the same result as "Proc GENMOD". Now I have couple of questions related to yags output. (By the way, someone told me to run the geeglm for the same analysis and I did run but did not get the same result as of genmod and don't know how to correct the geeglm codes so that all three will be same!)
2009 Aug 08
1
linear model: Test difference between coefficients and given values (t.test?)
Hi there,
I've got a question which is really trivial for sure but still I have
to ask as I'm not
making any progress solving it by myself (please be patient with an
undergraduate
student):
I've got a linear model (lm and lmer fitted with method="ML").
Now I want to compare the coefficients (slope, intercept, not the
random effects)
of both models with a given value (e.g.
2016 Apr 28
2
Linear Regressions with constraint coefficients
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 inside an interval, let?s say, between 0 and 1, what kind of starting values are normally recommended for the start argument (e.g. Using a 4 factor model with b1, b2, b3 and b4, I tried
2008 Aug 05
0
unexpected problem
Dear R users,
I have run into a very unexpected problem and I was hoping someone could
explain it to me.
I have a 650 000 by 12 matrix and I want to perform a rolling regression on
it, width 36 or 48, using the package performanceAnalytics.
ie: rol.lm<-rollingRegression(lm(y~x1+x2+x3+x4+x5),data=denise,width=36)
The regressions occur without a problem and I store my output (coefficients,
2010 Apr 12
2
Interpreting factor*numeric interaction coefficients
Dear all,
I am a relative novice with R, so please forgive any terrible errors...
I am working with a GLM that describes a response variable as a function of
a categorical variable with three levels and a continuous variable. These
two predictor variables are believed to interact.
An example of such a model follows at the bottom of this message, but here
is a section of its summary table:
2008 May 16
1
Making slope coefficients ``relative to 0''.
I am interested in whether the slopes in a linear model are different
from 0.
I.e. I would like to obtain the slope estimates, and their standard
errors,
``relative to 0'' for each group, rather than relative to some baseline.
Explicitly I would like to write/represent the model as
y = a_i + b_i*x + E
i = 1, ..., K, where x is a continuous variate and i indexes groups
(levels of a
2008 Dec 28
1
Random coefficients model with a covariate: coxme function
Dear R users:
I'm new to R and am trying to fit a mixed model
Cox regression model with coxme function.
I have one two-level factor (treat) and one
covariate (covar) and 32 different groups
(centers). I'd like to fit a random coefficients model, with treat and covar
as fixed factors and a random intercept, random
treat effect and random covar slope per center.
I haver a couple of
2011 Oct 03
2
rolling regression
Dear all,
I have spent the last few days on a seemingly simple and previously documented rolling regression.
I have a 60 year data set organized in a ts matrix.
The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1
I have been able to come up with the following based on previous help threads. It seems to work fine.
The trouble is I get regression coefficients but need the immediate