Hi all, I hope you are doing well?
I’m currently using the lm() function from the package stats to fit linear multifactor regressions. Unfortunately, I didn’t yet find a way to fit linear multifactor regressions with constraint coefficients? I would like the slope coefficients to be all inside an interval, let’s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1. Is there an elegant and not too complicated way to do such a constraint regression estimation in R? I would very much appreciate if you could help me with my issue? Thanks a lot in advance and kind regards, Aljosa Aleksandrovic Aljosa Aleksandrovic, FRM, CAIA Quantitative Analyst - Convertibles aljosa.aleksandro...@man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland -----Original Message----- From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] Sent: Dienstag, 26. April 2016 14:35 To: Aleksandrovic, Aljosa (Pfaeffikon) Subject: Re: Linear Regressions with constraint coefficients You need to send it to r-help@r-project.org however. Kevin On 04/26/2016 08:32 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: > Ok, will do! Thx a lot! > > Please find below my request: > > Hi all, > > I hope you are doing well? > > I’m currently using the lm() function from the package stats to fit linear > multifactor regressions. > > Unfortunately, I didn’t yet find a way to fit linear multifactor regressions > with constraint coefficients? I would like the slope coefficients to be all > inside an interval, let’s say, between 0 and 1. Further, if possible, the > slope coefficients should add up to 1. > > Is there an elegant and not too complicated way to do such a constraint > regression estimation in R? > > I would very much appreciate if you could help me with my issue? > > Thanks a lot in advance and kind regards, Aljosa Aleksandrovic > > > > Aljosa Aleksandrovic, FRM, CAIA > Quantitative Analyst - Convertibles > aljosa.aleksandro...@man.com > Tel +41 55 417 7603 > > Man Investments (CH) AG > Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland > > > -----Original Message----- > From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] > Sent: Dienstag, 26. April 2016 14:28 > To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-ow...@r-project.org > Subject: Re: Linear Regressions with constraint coefficients > > I believe I approved a message with such a subject. Perhaps there was another > layer that subsequently rejected it after that. I didn't notice any unusual > content. Try again, making sure you send the message in plain text only. > > Kevin > > On 04/26/2016 08:16 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: >> Do you know where I get help for my issue? >> >> Thanks in advance and kind regards, >> Aljosa >> >> >> Aljosa Aleksandrovic, FRM, CAIA >> Quantitative Analyst - Convertibles >> aljosa.aleksandro...@man.com >> Tel +41 55 417 7603 >> >> Man Investments (CH) AG >> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >> >> -----Original Message----- >> From: R-help [mailto:r-help-boun...@r-project.org] On Behalf Of >> r-help-ow...@r-project.org >> Sent: Dienstag, 26. April 2016 14:10 >> To: Aleksandrovic, Aljosa (Pfaeffikon) >> Subject: Linear Regressions with constraint coefficients >> >> The message's content type was not explicitly allowed >> -- Kevin E. Thorpe Head of Biostatistics, Applied Health Research Centre (AHRC) Li Ka Shing Knowledge Institute of St. Michael's Hospital Assistant Professor, Dalla Lana School of Public Health University of Toronto email: kevin.tho...@utoronto.ca Tel: 416.864.5776 Fax: 416.864.3016 This email has been sent by a member of the Man group (“Man”). Man’s parent company, Man Group plc, is registered in England and Wales (company number 08172396) at Riverbank House, 2 Swan Lane, London, EC4R 3AD. The contents of this email are for the named addressee(s) only. It contains information which may be confidential and privileged. If you are not the intended recipient, please notify the sender immediately, destroy this email and any attachments and do not otherwise disclose or use them. Email transmission is not a secure method of communication and Man cannot accept responsibility for the completeness or accuracy of this email or any attachments. 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