[R] Linear Regressions with constraint coefficients

Aleksandrovic, Aljosa (Pfaeffikon) Aljosa.Aleksandrovic at man.com
Tue Apr 26 17:29:23 CEST 2016

```Ok, and if I would just like to force my slope coefficients to be inside an interval, let's say, between 0 and 1? Is there a way in R to formulate such a constraint regression?

Thanks in advance and kind regards,
Aljosa

Aljosa Aleksandrovic, FRM, CAIA
Quantitative Analyst - Convertibles
aljosa.aleksandrovic at man.com
Tel +41 55 417 7603

Man Investments (CH) AG
Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland

-----Original Message-----
From: Bert Gunter [mailto:bgunter.4567 at gmail.com]
Sent: Dienstag, 26. April 2016 16:51
To: Aleksandrovic, Aljosa (Pfaeffikon)
Cc: r-help at r-project.org
Subject: Re: [R] Linear Regressions with constraint coefficients

If the slope coefficients sum to a constant, the regressors are dependent and so a unique solution is impossible (an infinity of solutions would result). So I think you have something going on that you don't understand and should consult a local statistician to help you formulate your problem appropriately.

Cheers,
Bert

Bert Gunter

"The trouble with having an open mind is that people keep coming along and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )

On Tue, Apr 26, 2016 at 5:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote:
> Hi all,
>
> I hope you are doing well?
>
> I’m currently using the lm() function from the package stats to fit linear multifactor regressions.
>
> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions with constraint coefficients? I would like the slope coefficients to be all inside an interval, let’s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1.
>
> Is there an elegant and not too complicated way to do such a constraint regression estimation in R?
>
> I would very much appreciate if you could help me with my issue?
>
> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic
>
>
>
> Aljosa Aleksandrovic, FRM, CAIA
> Quantitative Analyst - Convertibles
> aljosa.aleksandrovic at man.com
> Tel +41 55 417 7603
>
> Man Investments (CH) AG
> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>
>
> -----Original Message-----
> From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca]
> Sent: Dienstag, 26. April 2016 14:35
> To: Aleksandrovic, Aljosa (Pfaeffikon)
> Subject: Re: Linear Regressions with constraint coefficients
>
> You need to send it to r-help at r-project.org however.
>
> Kevin
>
> On 04/26/2016 08:32 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote:
>> Ok, will do! Thx a lot!
>>
>> Please find below my request:
>>
>> Hi all,
>>
>> I hope you are doing well?
>>
>> I’m currently using the lm() function from the package stats to fit linear multifactor regressions.
>>
>> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions with constraint coefficients? I would like the slope coefficients to be all inside an interval, let’s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1.
>>
>> Is there an elegant and not too complicated way to do such a constraint regression estimation in R?
>>
>> I would very much appreciate if you could help me with my issue?
>>
>> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic
>>
>>
>>
>> Aljosa Aleksandrovic, FRM, CAIA
>> Quantitative Analyst - Convertibles
>> aljosa.aleksandrovic at man.com
>> Tel +41 55 417 7603
>>
>> Man Investments (CH) AG
>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>>
>>
>> -----Original Message-----
>> From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca]
>> Sent: Dienstag, 26. April 2016 14:28
>> To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-owner at r-project.org
>> Subject: Re: Linear Regressions with constraint coefficients
>>
>> I believe I approved a message with such a subject. Perhaps there was another layer that subsequently rejected it after that. I didn't notice any unusual content. Try again, making sure you send the message in plain text only.
>>
>> Kevin
>>
>> On 04/26/2016 08:16 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote:
>>> Do you know where I get help for my issue?
>>>
>>> Thanks in advance and kind regards,
>>> Aljosa
>>>
>>>
>>> Aljosa Aleksandrovic, FRM, CAIA
>>> Quantitative Analyst - Convertibles
>>> aljosa.aleksandrovic at man.com
>>> Tel +41 55 417 7603
>>>
>>> Man Investments (CH) AG
>>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>>>
>>> -----Original Message-----
>>> From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of
>>> r-help-owner at r-project.org
>>> Sent: Dienstag, 26. April 2016 14:10
>>> To: Aleksandrovic, Aljosa (Pfaeffikon)
>>> Subject: Linear Regressions with constraint coefficients
>>>
>>> The message's content type was not explicitly allowed
>>>
>
>
> --
> Kevin E. Thorpe
> Head of Biostatistics,  Applied Health Research Centre (AHRC)
> Li Ka Shing Knowledge Institute of St. Michael's Hospital
> Assistant Professor, Dalla Lana School of Public Health
> University of Toronto
> email: kevin.thorpe at utoronto.ca  Tel: 416.864.5776  Fax: 416.864.3016
>
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