Re: [R] Multivariate Regression with Weights

2008-08-09 Thread Arne Henningsen
On Saturday 09 August 2008 23:25, Arne Henningsen wrote: > > -Original Message- > > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > > Sent: Monday, August 04, 2008 5:15 PM > > To: Zhang Yanwei - Princeton-MRAm > > Subject: RE: [R] Multivariate Regress

Re: [R] Multivariate Regression with Weights

2008-08-09 Thread Arne Henningsen
> -Original Message- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > Sent: Monday, August 04, 2008 5:15 PM > To: Zhang Yanwei - Princeton-MRAm > Subject: RE: [R] Multivariate Regression with Weights > > the systemfit package can do that and the documentation

[R] Multivariate regression with weights

2008-08-04 Thread Zhang Yanwei - Princeton-MRAm
Hi all, I'd like to fit a multivariate regression with the variance of the error term porportional to the predictors, like the WLS in the univariate case. y_1~x_1+x_2 y_2~x_1+x_2 var(y_1)=x_1*sigma_1^2 var(y_2)=x_2*sigma_2^2 cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2 How can I specify thi

Re: [R] Multivariate Regression with Weights

2008-08-04 Thread Zhang Yanwei - Princeton-MRAm
Subject: RE: [R] Multivariate Regression with Weights the systemfit package can do that and the documentation is quite nice also. On Mon, Aug 4, 2008 at 4:39 PM, Zhang Yanwei - Princeton-MRAm wrote: > Hi all, > I'd like to fit a multivariate regression with the variance of the &

[R] Multivariate Regression with Weights

2008-08-04 Thread Zhang Yanwei - Princeton-MRAm
Hi all, I'd like to fit a multivariate regression with the variance of the error term porportional to the predictors, like the WLS in the univariate case. y_1~x_1+x_2 y_2~x_1+x_2 var(y_1)=x_1*sigma_1^2 var(y_2)=x_2*sigma_2^2 cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2 How can I specify thi