Based on your comments in the (not-a-)bug report, I *think* this might help:
quanttrader.info/public/betterHedgeRatios.pdf or more generally, the idea of total least squares regression. Cheers, MW On Sat, Mar 2, 2013 at 9:55 PM, Cedric Sodhi <man...@gmx.net> wrote: > Perhaps it would have been clearer that this is no homework if I > hadn't forgotten to say what [1] is. Sorry for that. > > [1] https://bugs.r-project.org/bugzilla3/show_bug.cgi?id=15225 > > (This is no homework but genuinely adresses the problem that R to my > knowledge does not have models for error in variables) > > > On Sat, Mar 02, 2013 at 09:34:21PM +0000, Rui Barradas wrote: >> There's a no homework policy in R-help. >> >> Rui Barradas >> >> Em 02-03-2013 18:28, Cedric Sodhi escreveu: >> > In reference to [1], how would you solve the following regression >> > problem: >> > >> > Given observations (X_i,Y_i) with known respective error distributions >> > (e_X_i,e_Y_i) (say, 0-mean Gaussian with known STD), find the parameters >> > a and b which maximize the Likelihood of >> > >> > Y = a*X + b >> > >> > Taking the example further, how many of the very simplified assumptions >> > from the above example can be lifted or eased and R still has a method >> > for finding an errors-in-variables fit? >> > >> > ______________________________________________ >> > R-help@r-project.org mailing list >> > https://stat.ethz.ch/mailman/listinfo/r-help >> > PLEASE do read the posting guide >> > http://www.R-project.org/posting-guide.html >> > and provide commented, minimal, self-contained, reproducible code. >> > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
