### Confidence Regions for Regression Coefficients

Let’s consider the usual linear regression model, with the full set of assumptions: y = Xβ + ε ; ε ~ N[0 , σ2In] , (1)where X is a non-random (n × k) mat...

[Read more...] Let’s consider the usual linear regression model, with the full set of assumptions: y = Xβ + ε ; ε ~ N[0 , σ2In] , (1)where X is a non-random (n × k) mat...

[Read more...] Consider a (stationary) autoregressive process, say of order 2,
for some white noise with variance . Here is a code to generate such a process,
__ phi1=.5
__ phi2=-.4
__ sigma=1.5
__ set.seed(1)
__ n=240
__ WN=rnorm(n,sd=sigma)
__ ... [Read more...]

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