Dear Marco, > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-bounces@r- > project.org] On Behalf Of Marco Inacio > Sent: Thursday, February 06, 2014 12:41 PM > To: R help > Subject: Re: [R] proportional weights > > > > I think we can blame Tim Hesterberg for the confusion: > > > > He writes > > > > " > > I'll add: > > * inverse-variance weights, where var(y for observation) = 1/weight > (as opposed to just being inversely proportional to the weight) * > > " > > > > And, although I'm not a native English speaker, I think there's a > spurious comma in there. The intention was clearly to have this as a > 4th type of weight which is a special case of inverse-variance weights, > not as an elaboration on the definition of inv.var. weights. > > > > I.e., it is the difference between > > > > Motorists who are reckless drivers... > > > > and > > > > Motorists, who are reckless drivers... > > > > -pd > In fact, that wasn't what caused the confusion as I have understood > what > he meant despite the problem with the comma. > > But I got the idea now, R uses weighted least squares and: > > "Var[\epsilon | X] = \Omega" (equal, not proportion) > (https://en.wikipedia.org/wiki/Generalized_least_squares) (since WLS is > just a special case of GLS) > > "The weights should, ideally, be equal to the reciprocal of the > variance > of the measurement." > (https://en.wikipedia.org/wiki/Linear_least_squares_(mathematics)#Weigh > ted_linear_least_squares) > > I guess I need to find another strategy to use proportional weights > (weights know up to a constant, as John says).
No, you are perfectly fine using WLS. The constant of proportionality is the estimated error variance, i.e., the square of the residual standard error (as I think I said earlier). John > > So, thank you much to you all, and sorry the inconvenience I caused. > > ______________________________________________ > 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.
