On 8/4/2006 1:26 PM, Jens Hainmueller wrote: > Dear List, > > Why do commonly used estimator functions (such as lm(), glm(), etc.) not > allow negative case weights?
Residual sums of squares (or deviances) could be negative with negative case weights. This doesn't seem like a good thing: would you really want the fit to be far from those points? > I suspect that there is a good reason for this. > Yet, I can see reasonable cases when one wants to use negative case weights. > > Take lm() for example: > > ### > > n <- 20 > Y <- rnorm(n) > X <- cbind(rep(1,n),runif(n),rnorm(n)) > Weights <- rnorm(n) > # Includes Pos and Neg Weights > Weights > > # Now do Weighted LS and get beta coeffs: > b <- solve(t(X)%*%diag(Weights)%*%X) %*% t(X) %*% diag(Weights)%*%Y That formula does not necessarily give least squares estimates in the case where weights might be negative. For example, with a single observation y, a single parameter mu, design matrix X = 1, and weight -1, that formula becomes b <- y, but that is the worst possible estimator in a least squares sense. The residual sum of squares can be made arbitrarily large and negative by setting b to a large value. Duncan Murdoch > b > > # This seems like a valid model, but when I try > lm(Y ~ X[,2:3],weights=Weights) > > # I get: "missing or negative weights not allowed" > > ### > > What is the rationale for not allowing negative weights? I ask this, because > I am currently trying to implement a (two stage) estimator into R that > involves negative case weights. Weights are generated in the first stage, so > it would be nice if I could use canned functions such as > lm(,weights=Weights) in the second stage. > > Thank you for your help. > > Best, > Jens > > ______________________________________________ > 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 > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ 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 and provide commented, minimal, self-contained, reproducible code.