Ummm... If y is unrelated to x, then why would one expect any reasonable method to show a greater or lesser relationship than any other? It's all random. Of course, put enough random regressors into/"tune" the parameters enough of any regression methodology and you'll be able to precisely predict the data at hand -- but **only** the data at hand. I should note that such work apparently frequently appears in various sorts of "informatics"/"data mining"/"omics"/etc. journals these days, as various papers demonstrating the irreproducibility of numerous purported discoveries have infamously demonstrated. Let us not forget Occam!
Just being cranky ... -- Bert Gunter > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of Nagu > Sent: Wednesday, April 05, 2006 3:52 PM > To: r-help@stat.math.ethz.ch > Subject: [R] Multivariate linear regression > > Hi, > > I am working on a multivariate linear regression of the form y = Ax. > > I am seeing a great dispersion of y w.r.t x. For example, the > correlations between y and x are very small, even after using some > typical transformations like log, power. > > I tried with simple linear regression, robust regression and ace and > avas package in R (or splus). I didn't see an improvement in the fit > and predictions over simple linear regression. (I also tried this with > transformed variables) > > I am sure that some of you came across such data. How did you > deal with it? > > Linear regressions are good for the data like y = x + > 0.01Normal(mu,sigma2) i.e. a small noise (data observed in a lab). But > linear regressions are bad for large noise, like typical market (or > survey) data. > > Thank you, > Nagu > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html