Linear Regressions with constraint coefficients
If the slope coefficients sum to a constant, the regressors are dependent and so a unique solution is impossible (an infinity of solutions would result). So I think you have something going on that you don't understand and should consult a local statistician to help you formulate your problem appropriately. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Apr 26, 2016 at 5:39 AM, Aleksandrovic, Aljosa (Pfaeffikon)
<Aljosa.Aleksandrovic at man.com> wrote:
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.aleksandrovic at man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: Kevin E. Thorpe [mailto:kevin.thorpe at 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 at 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.aleksandrovic at man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca] Sent: Dienstag, 26. April 2016 14:28 To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-owner at 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.aleksandrovic at man.com Tel +41 55 417 7603 Man Investments (CH) AG Huobstrasse 3 | 8808 Pf?ffikon SZ | Switzerland -----Original Message----- From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of r-help-owner at 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.thorpe at 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. Whilst Man makes every effort to keep its network free from viruses, it does not accept responsibility for any computer virus which might be transferred by way of this email or any attachments. This email does not constitute a request, offer, recommendation or solicitation of any kind to buy, subscribe, sell or redeem any investment instruments or to perform other such transactions of any kind. Man reserves the right to monitor, record and retain all electronic and telephone communications through its network in accordance with applicable laws and regulations. --UwQe9f5k7pI3vplngP
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