close Warning: Can't synchronize with repository "(default)" (/var/svn/tolp does not appear to be a Subversion repository.). Look in the Trac log for more information.

Opened 16 years ago

Last modified 16 years ago

#666 closed enhancement

BSR Fixing and reloading partially for main linear block — at Version 3

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 constrained regression block

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

in two sub-blocks

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

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

where

Y_{1} = Y - X_{1} \beta_{1} $$
a_{1} = a - A_{1} \beta_{1} $$

Change History (3)

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

comment:2 Changed 16 years ago by Víctor de Buen Remiro

Status: new → assigned

comment:3 Changed 16 years ago by Víctor de Buen Remiro

Description: modified (diff)
Note: See TracTickets for help on using tickets.