# Re: [R] Multivariate regression

From: Ritwik Sinha <ritwik.sinha_at_gmail.com>
Date: Sat 28 Oct 2006 - 03:04:40 GMT

You can use gee (
http://finzi.psych.upenn.edu/R/library/geepack/html/00Index.html) or maybe the function gls in nlme.

Ritwik.

>
> Hi,
>
>
>
> Suppose I have a multivariate response Y (n x k) obtained at a set of
> predictors X (n x p). I would like to perform a linear regression taking
> into consideration the covariance structure of Y within each unit - this
> would be represented by a specified matrix V (k x k), assumed to be the
> same
> across units. How do I use "lm" to do this?
>
>
>
> One approach that I was thinking of is as follows:
>
>
>
> Flatten Y to a vector, say, Yvec (n*k x 1). Create Xvec (n*k, p*k) such
> that it is made up of block matrices Bij (k x k), where Bij is a diagonal
> matrix with X_ij as the diagonal (i = 1,.n, and j = 1,.,p). Now I can use
> "lm" in a univariate mode to regress Yvec against Xvec, with covariance
> matrix Vvec (n*k x n*k). Vvec is a block-diagonal matrix with blocks of V
> along the diagonal. This seems like a valid approach, but I still don't
> know how to specify the covariance structure to do weighted least squares.
>
>
>
> Any help is appreciated.
>
>
>
> Best,
>
> Ravi.
>
>
>
>
> ----------------------------------------------------------------------------
> -------
>
>
> Assistant Professor, The Center on Aging and Health
>
> Division of Geriatric Medicine and Gerontology
>
> Johns Hopkins University
>
> Ph: (410) 502-2619
>
> Fax: (410) 614-9625
>
>
>
>
>
>
> ----------------------------------------------------------------------------
> --------
>
>
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

```--
Ritwik Sinha
Epidemiology and Biostatistics
Case Western Reserve University
ritwik.sinha_at_gmail.com | +12163682366 | http://darwin.cwru.edu/~rsinha

[[alternative HTML version deleted]]

______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help