[R] covariate data errors

About this list Date view Thread view Subject view Author view Attachment view

From: Andy Jacobson (junkmail@mu.met.psu.edu)
Date: Fri 13 Jun 2003 - 13:40:04 EST


Message-id: <E19QfQ4-0004NQ-00@mu.met.psu.edu>

Greetings,

        I would like to fit a multiple linear regression model in
which the residuals are expected to follow a multivariate normal
distribution, using weighted least squares. I know that the data in
question have biases that would result in correlated residuals, and I
have a means for quantifying those biases as a covariance matrix. I
cannot, unfortunately, correct the data for these biases.

        It seems that this should be a straightforward task, but so
much of the literature is concerned with the probability model in
which the residuals are uncorrelated that I can't find a good
reference. So in order of importance, please, can someone point me to
a definitive reference for least squares with correlated residuals,
and is there a standard R package to handle this case?

        Many thanks in advance,

        Anthony

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


About this list Date view Thread view Subject view Author view Attachment view

This archive was generated by hypermail 2.1.3 : Tue 01 Jul 2003 - 09:11:53 EST