Weighted least squares regression

    • [DOC File]Reserving with the Extended Link-Ratio Family of Models

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      The chain ladder development factor, the average development factor and the ordinary least squares line through the origin are all weighted averages of the individual ratios — indeed they are weighted regression lines with different weighting schemes. The regression model …

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    • [DOC File]STA 6208 – FINAL EXAM TOPICS

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      If the following table gives the published results, construct the weighted Y and X matrices for weighted least squares estimate of . Give the fitted values for Y in the original (non-transformed) scale. ni Ybari Xi 16 20.0 0 9 33.0 10 25 41.0 20 16 48.0 30 Experience has shown that errors in a regression have the following recursive pattern:

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    • [DOCX File]Technology - Winona State University

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      Weighted Least Squares (WLS) – Example 3.9 (pg . 117)In weighted least squares we give more weight to some observations in the data than others.The general concept is that we wish to give more weight to observations where the variation in the response is small and less weight to observations where the variability in the response is large.

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    • [DOC File]Econ 641 Name

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      (20 HW points) Now rerun the regression of Problem 1 (LOGF on C LOGPAY RACE) by Weighted Least Squares (WLS), under the assumption that variance of LOGF is approximately V = (1-F)/MIL, as discussed in class. To do this, first generate V, then W = SQR(1/V), since the “weight” EViews is looking for is the reciprocal of the predicted standard ...

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    • [DOC File]PE Ratio Regression - NYU

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      b Linear Regression through the Origin. c Weighted Least Squares Regression - Weighted by Market Cap Value to Book Capital Ratio Regression. Dependent variable: Value to Book (Enterprise value/ Invested Capital) Independent variables: See below. Number of observations: 1585. Model Summary

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    • [DOC File]Chapter 9: Model Building

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      • Weighted least squares • R. idge and LASSO regression • Robust regression. General Procedure: (1) We select a random sample (of size n), with replacement, from the observations in the original sample. • This is called a bootstrap sample.

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    • [DOC File]Geostatistics : Past, Present and Future

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      Hence, a valid theoretical variogram model (such as those from Figure 1) is typically fitted to the Matheron semivariogram by techniques (Cressie, 1993, section 2.6) such as least squares, generalized least squares or fitting by inspection. The standard variogram fitting algorithm of Cressie (1985) uses a weighted least squares procedure.

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    • [DOC File]Chapter 10: Building the regression model I|I: Remedial ...

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      Weighted least squares - Find the b0, b1,…, bp-1 such that SSEw = (wi(Yi-)2 = (wi(residual)2 is minimized where wi=1/. The weighted least squares estimators are where X and Y are the same before and . Notes: “wi” is used to stand for weight. See p. 429-430 #5 for a derivation of the weighted least squares estimates.

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    • [DOC File]Violations of Classical Linear Regression Assumptions

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      Generalized Least-Squares Suppose we find a matrix P (n(n) such that PWP’=I, or equivalently W=P-1P’-1 or W-1=P’P (use spectral demcomposition). Multiply the regression model (Y=X + ) on left by P: PY=PX +P Write PY=Y*, PX=X* and P = *, so in the transformed variables Y*=X* + *.

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