From: Ritwik Sinha <ritwik.sinha_at_gmail.com>

Date: Sat 28 Oct 2006 - 03:04:40 GMT

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.

On 10/27/06, Ravi Varadhan <rvaradhan@jhmi.edu> wrote:

*>
**> 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.
**>
**>
**>
**>
**> ----------------------------------------------------------------------------
**> -------
**>
**> Ravi Varadhan, Ph.D.
**>
**> 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
**>
**> Email: rvaradhan@jhmi.edu
**>
**> Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
**>
**>
**>
**>
**> ----------------------------------------------------------------------------
**> --------
**>
**>
**>
**>
**> [[alternative HTML version deleted]]
**>
**> ______________________________________________
**> R-help@stat.math.ethz.ch mailing list
**> https://stat.ethz.ch/mailman/listinfo/r-help
**> PLEASE do read the posting guide
**> http://www.R-project.org/posting-guide.html
**> and provide commented, minimal, self-contained, reproducible code.
**>
*

-- Ritwik Sinha Graduate Student 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 PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.Received on Sat Oct 28 13:11:32 2006

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