ACE (Alternating Conditional Expectations)

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1 total messages Started by Francis Lim Tue, 05 Jan 1993 04:09

#791

Author: Francis Lim
Date: Tue, 05 Jan 1993 04:09

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Hello netters. I have a simple ACE (Breiman and Friedman 1985) question.

ACE stands for Alternating Conditional Expectations, and is a method
of estimating the relationship between the explanatory and response
variables, transforming the variables to maximize their correlation.

The presumed relationship between Y and X, for example, is

	\theta(Y) = \phi(X) + e

where e is random error.

One can use either BLSS or S to invoke ACE.
For both statistical packages, I found that \hat{\theta}(Y) did NOT
equal \hat{\phi}(X), where \hat symbolizes the estimated
transformations.

In fact, \hat{\theta}(Y) was not even proportional to \hat{\phi}(X).

Any ideas? Thanks in advance. Replies will be summarized and posted
to the net.
-- 
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      FRANCIS W. LIM  |  email: flim@ucsd.edu | dept phone: (619) 534-3383
      Dept of Economics, Univ of Cal at San Diego, La Jolla, CA 92093-0508
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