Hi, I am fitting a weighted least square regression and trying to compute SSE,SST and SSReg but I am not getting SST = SSReg + SSE and I dont know what I am coding wrong. Can you help please?
xnam <-colnames(X) # colnames Design Matrix fmla1 <- as.formula(paste("Y ~",paste(xnam, collapse= "+"),"-1",sep="")) fitlm <- lm(formula=fmla1,data = data.frame(cbind(X,Y))) ResiSqr <- (residuals(fitlm))*(residuals(fitlm)) fmla2 <- as.formula(paste("ResiSqr ~ ", paste(xnam, collapse= "+"),"-1",sep="")) fitResi <- lm(formula=fmla2,data = data.frame(cbind(x,ResiSqr))) # This fit is to calculate the weights bResi <- coef(fitResi) Sigma2 <- X%*%bResi # Var(Y) Weights <- 1/Sigma2 for(i in 1:length(Weights)){ Weights[which(ifelse(Weights<=0.5,TRUE,FALSE))] <- 0.5 Weights[which(ifelse(Weights>=200,TRUE,FALSE))] <- 200 Sigma2[which(ifelse(Sigma2<=0,TRUE,FALSE))] <- 0 # set -ve Var(Y) to zero #+++++++++++++++++++++++++++ Fit WLS +++++++++++++++++++++++++++++++++++++++++++ fitwls <- lm(formula = fmla1,weights = Weights,data = data.frame(cbind(X,Y))) bhat <- coef(fitwls) ############################## Y = Log(Z) Scale #################################### Yhat <- X%*%bhat # predicted values mu <- mean(Y) To <- Y - mu Er <- Y - Yhat Re <- Yhat - mu lgSST <- sum(Weights*(To)^2) # log SST lgSSE <- sum(Weights*(Er)^2) # log SSE lgSSR <- sum(Weights*(Re)^2) # log SSR lgR-sq <- lgSSR/lgSST ############################### Z Scale ###################################### Z <- exp(Y) muZ <- mean(Z) Zhat <- exp(Yhat+0.5*Sigma2) ToZ <- Z-muZ ErZ <- Z - Zhat ReZ <- Zhat - muZ SST <- sum(Weights*(ToZ)^2) # SST SSE <- sum(Weights*(ErZ)^2) # SSE SSR <- sum(Weights*(ReZ)^2) # SSR Rsq <- SSR/SST I don't understand what is wrong with the code. The sum square regression plus the sum square error do not add up to the sum square total in both the Y scale and Z scale. Y is a normal distribution and Z is log normally distributed. Where is the error? Also, is there a way to calculate the weighted sum square? -- View this message in context: http://r.789695.n4.nabble.com/R-Square-in-WLS-tp4649693.html Sent from the R help mailing list archive at Nabble.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.