[R] regression coefficients
Spencer Graves
spencer.graves at pdf.com
Tue May 20 17:19:40 CEST 2003
I don't know of a simply function to do what you want, but I can give
you part of the standard log(likelihood ratio) theory:
Suppose b[i]|s ~ N.r(b, s^2*W[i]), i = 1, ..., k. Then the
log(likelihood) is a sum of k terms of the following form:
l[i] = (-0.5)*(r*log(2*pi*s^2)+log|W[i]|
+(s^-2)*t(b[i]-b)%*%solve(W[i]%*%(b[i]-b)
By differentiating with respect to b and setting to 0, we get the
maximum likelihood estimate for b as follows:
b.hat = solve(sum(solve(W[i]))%*%sum(solve(W[i])%*%b[i])
In words: b.hat = weighted average with weights inversely proportional
to the variances. Then log(likelihood ratio) is as follows:
log.LR = sum((s^-2)*t(b[i]-b.hat)%*%solve(W[i])%*%(b[i]-b.hat))
This problem should be in most good books on multivariate analysis. I
would guess that log.LR probably has an F distribution with numerator
degrees of freedom = r*(k-1) and with denominator degrees of freedom =
degrees of freedom in the estimate of s. However, I don't remember for
sure. It's vaguely possible that this is an "unsolved" problem. In the
latter case, you should have all the pieces here to generate a Monte
Carlo.
hope this helps. spencer graves
lamack lamack wrote:
> dear all, How can I compare regression coefficients across three (or
> more) groups?
>
> Thank you very much
>
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