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Covariance with bounds in leasqr


From: Pablo
Subject: Covariance with bounds in leasqr
Date: Wed, 21 Mar 2012 18:31:51 -0300
User-agent: Mozilla/5.0 (X11; U; Linux x86_64; en-US; rv:1.9.2.24) Gecko/20111114 Icedove/3.1.16

Hi everyone,
I've been intrigued by a detail in leasqr (from Octave-Forge) for a while. In the function's documentation it's stated that "If constraints (or bounds) are set, returned guesses of corp, covp, and Z are generally invalid, even if no constraints are active for the final parameters".

I wonder why is that, particularly for covp (it's usually the most useful for me). Unfortunately, I don't seem to have access to the reference given (Bard) so I can't check if that's mentioned there. Also, a few web searches didn't give me any clue. I'm familiar with the way the covariance of the parameters is calculated for a linear fit, and as far as I can see it's essentially the same for leasqr.

Could anyone give me some pointers as to why that statement is true? Any references or links to help me understand it would also be highly appreciated.

  Best Regards,
    Arnoques


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