Ticket #666 (closed enhancement: fixed)

Opened 9 years ago

Last modified 9 years ago

BSR Fixing and reloading partially for main linear block

Reported by: vdebuen Owned by: vdebuen
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 vdebuen) (diff)

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

Changed 9 years ago by vdebuen

  • description modified (diff)
  • summary changed from BSR Fixing partial blocks to BSR Fixing and reloading partially for main linear block

Changed 9 years ago by vdebuen

  • status changed from new to assigned

Changed 9 years ago by vdebuen

  • description modified (diff)

Changed 9 years ago by vdebuen

  • status changed from assigned to closed
  • resolution set to fixed

This feature has been added to the release v2.0.1 b.0.14.alpha

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