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Results tagged with estimation
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user 61078
This tag is too general; please provide a more specific tag. For questions about the properties of specific estimators, use [estimators] tag instead.
2
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1
answer
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Estimate of Coefficient Variance in multiple regression
I'm trying to compute an estimate for the variance of the estimated coefficients
in a non-linear regression using the formula described in link.
I can't figure out how to build $F_{ij}$
Let's consid …
- 131
1
vote
Accepted
Estimate of Coefficient Variance in multiple regression
The Matrix $F$ is actually correct and one can use it to build the covariance matrix of the regression coefficients:
$$D(\hat{\beta}) = \sigma^2(F^T F)^{-1}$$
Now denoting with $d_{jj}$ the $j-th$ dia …
- 131