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Opened 16 years ago

Last modified 16 years ago

#666 closed enhancement

BSR Fixing and reloading partially for main linear block — at Version 1

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: highest Milestone: BSR reestimation
Component: Math Version: 2.0.1
Severity: normal Keywords: BSR, reestimation, forecast, inference, partial simulation
Cc:

Description (last modified by Víctor de Buen Remiro)

We can separate a linear regression block

Y = X \beta + e; e ~ N\left(0,I\right) $$

in two sub-blocks

Y = X_{1} \beta_{1} +X_{2} \beta_{2} + e; e \sim N\left(0,I\right) $$

If we have an inconditional sample or a fixed set of values for \beta_{1} $$, then we can sample \beta_{2} | \beta_{1} $$ from reduced regression

Y_1 = Y - X_{1} \beta_{1} = X_{2} \beta_{2} + e; e \sim N\left(0,I\right) $$

Change History (1)

comment:1 Changed 16 years ago by Víctor de Buen Remiro

Description: modified (diff)
Summary: BSR Fixing partial blocks → BSR Fixing and reloading partially for main linear block
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