Re: [R] Weighted least squares

From: Adaikalavan Ramasamy <ramasamy_at_cancer.org.uk>
Date: Wed, 09 May 2007 01:37:31 +0100

http://en.wikipedia.org/wiki/Weighted_least_squares gives a formulaic description of what you have said.

I believe the original poster has converted something like this

	y	  x
	0	1.1
	0	2.2
	0	2.2
	0	2.2
	1	3.3
	1	3.3
	2	4.4
         ...

into something like the following

	y	  x	freq
	0	1.1	   1
	0	2.2	   3
	1	3.3        2
	2	4.4        1
         ...

Now, the variance of means of each row in table above is ZERO because the individual elements that comprise each row are identical. Therefore your method of using inverse-variance will not work here.

Then is it valid then to use lm( y ~ x, weights=freq ) ?

Regards, Adai

S Ellison wrote:
> Hadley,
>
> You asked
>> .. what is the usual way to do a linear
>> regression when you have aggregated data?
>
> Least squares generally uses inverse variance weighting. For aggregated data fitted as mean values, you just need the variances for the _means_.
>
> So if you have individual means x_i and sd's s_i that arise from aggregated data with n_i observations in group i, the natural weighting is by inverse squared standard error of the mean. The appropriate weight for x_i would then be n_i/(s_i^2). In R, that's n/(s^2), as n and s would be vectors with the same length as x. If all the groups had the same variance, or nearly so, s is a scalar; if they have the same number of observations, n is a scalar.
>
> Of course, if they have the same variance and same number of observations, they all have the same weight and you needn't weight them at all: see previous posting!
>
> Steve E
>
>
>
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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 Wed 09 May 2007 - 00:43:35 GMT

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