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Re: constrained linear regression

To: Nicola.Beghetto@bancaimi.it
Subject: Re: constrained linear regression
From: Patrick Burns <pburns@pburns.seanet.com>
Date: Thu, 28 Aug 2003 18:39:03 +0100
Cc: s-news@wubios.wustl.edu
References: <OFED7FD880.0366EF13-ONC1256D90.005E785E@bancaimi.it>
User-agent: Mozilla/5.0 (Windows; U; Windows NT 5.0; en-GB; rv:1.0.1) Gecko/20020823 Netscape/7.0
I would suspect that the theoretical covariance is quite
a tricky beast when constraints are binding.  You might
consider bootstrapping.

Patrick Burns

Burns Statistics
patrick@burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Nicola.Beghetto@bancaimi.it wrote:

Thank you prof.Brian ripley for you suggestion.
Once I get the parameters from nnls.fit, I'd like to have also the
significance of the estimators, but the vcov() command (which I tried to
obtain the var-covar of the estimators,because nnls.fit doesn't give it)
doesn't give any results.
Did anyone have a suggestion on how to calculate the standard error of such
estimators?
Thank you



Nicola Beghetto
Product & Business Development  -
Banca IMI - Milan

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