On 31 Mar 2014, at 00:30 , Emilio Torres Manzanera <tor...@uniovi.es> wrote:
> Dear Sir,
> I am not sure about the precision of the cov.wt function. It seems that it
> provides different results when using frequency weights. This discrepancy
> only occurs with the covariance matrix, not with the correlation matrix.
> Do you know to how to solve this issue? Thank you
> Best regards,
> Emilio
>
PLEASE DON'T DO THIS:
> rm(list=ls())
If a friendly an helpful reader pastes that into a running R session, previous
work could be lost, causing the reader to become less friendly and helpful in
the future.
Anyways, the crux seems to be that cov.wt has
cov <- switch(match.arg(method), unbiased = crossprod(x)/(1 -
sum(wt^2)), ML = crossprod(x))
where frequency weighting would have N/(N - 1) (in this case 150/149). I'm not
sure where the term (1-sum(wt^2)) comes from, though; in variance-weighting,
I'd expect n/(n-1) (with n=117 here) which is not the same thing, unless the wt
are equal.
--
Peter Dalgaard, Professor
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd....@cbs.dk Priv: pda...@gmail.com
______________________________________________
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.
