On Thu, 28 Aug 2003 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?
Potentially there is no valid theory for this, as the true parameters
might be on the boundary. But in practice you may do fine by just fitting
(with lm) a model omitting all the variables whose coefs are fitted as
zero. Just check that the confidence intervals for the remaining coefs do
not go near zero.
--
Brian D. Ripley, ripley@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
|