Errors-In-Variables in R
Based on your comments in the (not-a-)bug report, I *think* this might help: quanttrader.info/public/betterHedgeRatios.pdf or more generally, the idea of total least squares regression. Cheers, MW
On Sat, Mar 2, 2013 at 9:55 PM, Cedric Sodhi <manday at gmx.net> wrote:
Perhaps it would have been clearer that this is no homework if I hadn't forgotten to say what [1] is. Sorry for that. [1] https://bugs.r-project.org/bugzilla3/show_bug.cgi?id=15225 (This is no homework but genuinely adresses the problem that R to my knowledge does not have models for error in variables) On Sat, Mar 02, 2013 at 09:34:21PM +0000, Rui Barradas wrote:
There's a no homework policy in R-help. Rui Barradas Em 02-03-2013 18:28, Cedric Sodhi escreveu:
In reference to [1], how would you solve the following regression problem: Given observations (X_i,Y_i) with known respective error distributions (e_X_i,e_Y_i) (say, 0-mean Gaussian with known STD), find the parameters a and b which maximize the Likelihood of Y = a*X + b Taking the example further, how many of the very simplified assumptions from the above example can be lifted or eased and R still has a method for finding an errors-in-variables fit?
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______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.