matlab - 如何估计回归系数定义我自己的协方差矩阵的估计方法或使用 MATLAB 给定的协方差矩阵？

Question

给定y因变量nx1和自变量X维数矩阵nxp。我愿意用给定的协方差矩阵或通过定义我自己的协方差矩阵的估计方法来估计 beta 系数、r 平方和其他线性回归参数。是否有任何允许这样做的 Matlab 函数？

Answer 1

好的，这就是我写的：

function [coefficients, intercept] = gvcoef(X,y,CovEst)
%
% Finds coefficients and intercept estimates
% Inputs:
% - y -> dependent variable vector nx1
% - X -> independent variables matrix nxp
% - cov -> given estimate of covariance matrix (cov(X) in OLS)
% - intercept -> if true intercept is included (default)

a = CovEst;

for i=1:size(X,2)
    covariance = cov(y,X(:,i));
    b(i,:)= covariance(1,2);
end

% Coefficients from the covariance matrix
coefficients = linsolve(a,b);

% Intercept
y_bar = mean(y);
x_bar = mean(X,1);
intercept = y_bar - x_bar * coefficients;

end