using LSQLIN, how can i create a cov mtx of the coefficients?
Mostrar comentarios más antiguos
I'm using LSQLIN for a regression and I want to calculate the eigenvalues of the beta coefficients. So i need a cov mtx of the betas. I do not see any output arguments to return the matrix or for the data to build it manually. MVREGRESS has an output argument (VARPARAM) that is the cov mtx of the betas but I can not use MVREGRESS. Looking for similar output from LSQLIN
1 comentario
Star Strider
el 27 de Sept. de 2012
This isn't really an answer, so I'll post it as a comment instead.
Constrained linear regression is a more difficult problem than ordinary least squares regression. (It would be nice if the Optimization Toolbox had some statistical functions, especially since statistics for constrained optimization are different than for the unconstrained optimization used in the Statistics Toolbox.) Constrained estimators and tests in the multiple linear regression model (Part I) discusses the theory and calculations for the constrained linear regression covariance matrix. Note that the X matrix is likely the design matrix (that incliudes a column of ones) although it doesn't specifically mention that in this particular lecture.
Respuestas (0)
Categorías
Más información sobre Linear Least Squares en Centro de ayuda y File Exchange.
Productos
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!