Thread View: sci.math.stat
1 messages
1 total messages
Started by Alan Baker
Mon, 14 Sep 1992 11:19
Regression - Partition Inverse Problem
Author: Alan Baker
Date: Mon, 14 Sep 1992 11:19
Date: Mon, 14 Sep 1992 11:19
27 lines
1511 bytes
1511 bytes
Hi, I have a problem that I have not been able to sort out and would certainly appreciate some help. In the regression model y = X*B + e by writing y = x*B1 + Xs*Bs + e where x is a T-vector, B1 a scalar, Xs a T*(K-1) matrix and Bs is a (K-1) vector. The result var(B1) = sigma^2 / summation(x - xbar)^2(1-R^2) can be derived (but how it is derived is the problem I cannot solve) by applying partitioned inversion to X'X which comes from var-cov(b) = sigma^2(X'X)^-1 R^2 is the coefficient of determination obtained by regressing x on Xs. This is a problem that has annoyed me for some days and if any one can shed some light on the matter I would certainly appreciate their help. ================================================================================ Alan Baker AARNET: BAKER@COVAX.COMMERCE.UQ.OZ.AU Department of Commerce TELEPHONE: Work 07 365 6686 University of Queensland, QLD 4072 International +617 365 6686 Australia Home 07 371 1386 ================================================================================
Thread Navigation
This is a paginated view of messages in the thread with full content displayed inline.
Messages are displayed in chronological order, with the original post highlighted in green.
Use pagination controls to navigate through all messages in large threads.
Back to All Threads