[R] Errors-In-Variables in R

[R. Michael Weylandt]

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 <manday at 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 at 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 at 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.