Transcription of Extending Linear Regression: Weighted Least Squares ...
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Extending Linear regression : Weighted LeastSquares, Heteroskedasticity, Local PolynomialRegression36-350, Data Mining23 October 2009 Contents1 Weighted Least Squares12 Weighted Least Squares as a Solution to Heteroskedasticity ..53 Local Linear Regression104 Exercises151 Weighted Least SquaresInstead of minimizing the residual sum of Squares ,RSS( ) =n i=1(yi ~xi )2(1)we could minimize theweightedsum of Squares ,WSS( , ~w) =n i=1wi(yi ~xi )2(2)This includes ordinary Least Squares as the special case where all the weightswi= 1. We can solve it by the same kind of algebra we used to solve theordinary Linear Least Squares problem.
Regression 36-350, Data Mining 23 October 2009 Contents 1 Weighted Least Squares 1 2 Heteroskedasticity 3 2.1 Weighted Least Squares as a Solution to Heteroskedasticity . . . 5 3 Local Linear Regression 10 4 Exercises 15 1 Weighted Least Squares Instead of minimizing the residual sum of squares, RSS( ) = Xn i=1 (y i ~x i )2 (1)
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