[R-sig-finance] negative weights

Dirk Eddelbuettel edd at debian.org
Sat Apr 29 01:29:52 CEST 2006


Hi John,

On 28 April 2006 at 15:48, BBands wrote:
| lsfit does not allow negative weights. Is there a similar function that does?

When OLS is generalized to GLS (also called WLS), weights are typically
thought to account for varying degrees of uncertainty reflected in varying
sizes of residuals.  But you are still minimizing a sum of squares in which
each observation contributes at least some marginal bits of observations.

So negative weights don't really fit that framework. That said, from a purely
numerical as opposed to statistical point of view you can probably minimize a
suitable expression with nls() or optim().  But you'd be 'on your own out
there'.

Hope this helps,  Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison



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