Hi John: I don't understand what you're doing ( not saying that it's wrong.
I just don't
follow it ). Below is code for computing the coefficients using the matrix
way I follow.
Others may understand what you're doing and be able to fix it so I wouldn't
just
use below immediately.
xprimex <- solve(t(data[,1:2]) %*% data[,1:2])
xprimey <- t(data[,1:2]) %*% data[,3]
betas <- xprimex %*% xprimey
print(betas)
On Sat, Feb 18, 2012 at 8:36 AM, John Sorkin <jsor...@grecc.umaryland.edu>wrote:
> I am trying to use matrix algebra to get the beta coefficients from a
> simple bivariate linear regression, y=f(x).
> The coefficients should be computable using the following matrix algebra:
> t(X)Y / t(x)X
>
> I have pasted the code I wrote below. I clearly odes not work both because
> it returns a matrix rather than a vector containing two elements the beta
> for the intercept and the beta for x, and because the values produced by
> the matrix algebra are not the same as those returned by the linear
> regression. Can someone tell we where I have gone wrong, either in my use
> of matrix algebra in R, or perhaps at a more fundamental theoretical level?
> Thanks,
> John
>
> # Define intercept, x and y.
> int <- rep(1,100)
> x <- 1:100
> y <- 2*x + rnorm(100)
>
> # Create a matrix to hold values.
> data <- matrix(nrow=100,ncol=3)
> dimnames(data) <- list(NULL,c("int","x","y"))
> data[,"int"] <- int
> data[,"x"] <- x
> data[,"y"] <- y
> data
>
> # Compute numerator.
> num <- cov(data)
> num
>
> # Compute denominator
> denom <- solve(t(data) %*% data)
> denom
>
> # Compute betas, [t(X)Y]/[t(X)Y]
> betaRon <- num %*% denom
> betaRon
>
> # Get betas from regression so we can check
> # values obtaned by matrix algebra.
> fit0 <- lm(y~x)
>
>
> John David Sorkin M.D., Ph.D.
> Chief, Biostatistics and Informatics
> University of Maryland School of Medicine Division of Gerontology
> Baltimore VA Medical Center
> 10 North Greene Street
> GRECC (BT/18/GR)
> Baltimore, MD 21201-1524
> (Phone) 410-605-7119
> (Fax) 410-605-7913 (Please call phone number above prior to faxing)
>
> Confidentiality Statement:
> This email message, including any attachments, is for ...{{dropped:13}}
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