

Hi Peter,

why you are involving -1 with this concept?  Can you explain more please

Cheers
Date: Sun, 18 Nov 2012 23:28:26 -0800
From: ml-node+s789695n4650012h23@n4.nabble.com
To: frespider@hotmail.com
Subject: Re: R-Square in WLS



	
On Nov 18, 2012, at 21:32 , Thomas Lumley wrote:


> On Fri, Nov 16, 2012 at 4:48 PM, frespider <[hidden email]> wrote:

> 

>> Hi,

>> 

>> I am fitting a weighted least square regression and trying to compute

>> SSE,SST and SSReg but I am not getting SST = SSReg + SSE and I dont know

>> what I am coding wrong. Can you help please?

>> 

> 

> 

> For a start, you need to replace your mu and muZ by weighted means.

The -1 in the model formulas also suggests that there will be problems even in the non-weighted case. The addition formula for SSDs works for successive model reductions, so it is required that the span of the design matrix X contains the vector of all ones.


> 

>    -thomas

> 

> [snip]

> 

>> ############################## Y = Log(Z) Scale

>> ####################################

>> Yhat <- X%*%bhat                 # predicted values

>> mu <- mean(Y)

>> To <- Y - mu

>> Er <- Y - Yhat

>> Re <- Yhat - mu

>> lgSST <- sum(Weights*(To)^2)                # log SST

>> lgSSE <- sum(Weights*(Er)^2)                # log SSE

>> lgSSR <- sum(Weights*(Re)^2)                # log SSR

>> lgR-sq <- lgSSR/lgSST

>> ###############################  Z Scale

>> ######################################

>> Z <- exp(Y)

>> muZ <- mean(Z)

>> Zhat <- exp(Yhat+0.5*Sigma2)

>> ToZ <- Z-muZ

>> ErZ <- Z - Zhat

>> ReZ <- Zhat - muZ

>> SST <- sum(Weights*(ToZ)^2)          # SST

>> SSE <- sum(Weights*(ErZ)^2)          # SSE

>> SSR <- sum(Weights*(ReZ)^2)          # SSR

>> Rsq <- SSR/SST

>> 

>> I don't understand what is wrong with the code.  The sum square regression

>> plus the sum square error do not add up to the sum square total in both the

>> Y scale and Z scale.  Y is a normal distribution and Z is log normally

>> distributed.  Where is the error?

>> Also, is there a way to calculate the weighted sum square?

>> 

>> 

> 

>   -thomas

> 

> -- 

> Thomas Lumley

> Professor of Biostatistics

> University of Auckland

> 

> 	[[alternative HTML version deleted]]

> 

> ______________________________________________

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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
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-- 

Peter Dalgaard, Professor,

Center for Statistics, Copenhagen Business School

Solbjerg Plads 3, 2000 Frederiksberg, Denmark

Phone: (+45)38153501

Email: [hidden email]  Priv: [hidden email]


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