# Re: [R] Multivariate regression

From: Andris Jankevics <andza_at_osi.lv>
Date: Mon 30 Oct 2006 - 09:01:16 GMT

Andris Jankevics

On Sestdiena, 28. Oktobris 2006 06:04, Ritwik Sinha wrote:
> 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:
> >
> >
> >
> >
> > -------------------------------------------------------------------------
> >--- --------
> >
> >
> >
> >
> > [[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.

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 Mon Oct 30 20:14:42 2006

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