weightsLumley(sandwich)
weightsLumley()所属R语言包：sandwich
Weighted Empirical Adaptive Variance Estimation
加权经验自适应方差估计
译者：生物统计家园网 机器人LoveR
描述----------Description----------
A set of functions implementing a class of kernel-based heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators as introduced by Andrews (1991).
一组功能，实现一类基于内核的异方差和自相关一致（HAC）推出的安卓（1991）的协方差矩阵估计。
用法----------Usage----------
weave(x, order.by = NULL, prewhite = FALSE, C = NULL,
method = c("truncate", "smooth"), acf = isoacf, adjust = FALSE,
diagnostics = FALSE, sandwich = TRUE, tol = 1e-7, data = list(), ...)
weightsLumley(x, order.by = NULL, C = NULL,
method = c("truncate", "smooth"), acf = isoacf, tol = 1e-7, data = list(), ...)
参数----------Arguments----------
参数：x
a fitted model object.
拟合模型对象。
参数：order.by
Either a vector z or a formula with a single explanatory variable like ~ z. The observations in the model are ordered by the size of z. If set to NULL (the default) the observations are assumed to be ordered (e.g., a time series).
无论是向量z或用一个公式解释变量，如~ z。在模型中的观测是有序的的大小z。如果设置为NULL（默认值）观测值进行排序（例如，时间序列）。
参数：prewhite
logical or integer. Should the estimating functions be prewhitened? If TRUE or greater than 0 a VAR model of order as.integer(prewhite) is fitted via ar with method "ols" and demean = FALSE.
逻辑或整数。应该估计功能是prewhitened的吗？如果TRUE或大于0的VAR模型订单as.integer(prewhite)安装通过ar的方法"ols"和demean = FALSE。
参数：C
numeric. The cutoff constant C is by default 4 for method "truncate" and 1 for method "smooth".
数字。截止不变C默认情况下是4的方法"truncate"和1的方法"smooth"。
参数：method
a character specifying the method used, see details.
一个字符指定所使用的方法，查看详细信息。
参数：acf
a function that computes the autocorrelation function of a vector, by default isoacf is used.
一个函数，计算一个矢量的自相关函数中，默认的isoacf被使用。
参数：adjust
logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.
逻辑。如果一个有限的样本调整呢？这相当于乘法n/(n-k)其中n是一些意见和k估计参数的数量。
参数：diagnostics
logical. Should additional model diagnostics be returned? See vcovHAC for details.
逻辑。额外的模型诊断回来了吗？见vcovHAC的详细信息。
参数：sandwich
logical. Should the sandwich estimator be computed? If set to FALSE only the middle matrix is returned.
逻辑。三明治估计计算？如果设置为FALSE只有中间的矩阵将被返回。
参数：tol
numeric. Weights that exceed tol are used for computing the covariance matrix, all other weights are treated as 0.
数字。超过tol用于计算的协方差矩阵的权重，所有其他的权重被视为0。
参数：data
an optional data frame containing the variables in the order.by model. By default the variables are taken from the environment which the function is called from.
一个可选的数据框包含order.by模型中的变量。默认情况下，变量的环境中，该函数的调用。
参数：...
currently not used.
目前未使用。
Details
详细信息----------Details----------
weave is a convenience interface to vcovHAC using weightsLumley: first a weights function is defined and then vcovHAC is called.
weave是一个方便的接口vcovHAC使用weightsLumley：第一个权重函数的定义，然后vcovHAC被称为。
Both weighting methods are based on some estimate of the autocorrelation function r (as computed by acf) of the residuals of the model x. The weights for the "truncate" method are
这两种加权方法是根据一些估计，自相关函数r（计算acf）的残差的模型x。该权重"truncate"方法是
and the weights for the "smooth" method are
和"smooth"方法的权重
where n is the number of observations in the model an C is the truncation constant C.
其中n为观测值的数量模型中的一个C是截断不变的C。
Further details can be found in Lumley & Heagerty (1999).
进一步的细节可以发现，在拉姆利与Heagerty的（1999年）。
值----------Value----------
weave returns the same type of object as vcovHAC which is typically just the covariance matrix.
weave返回相同类型的对象作为vcovHAC这是典型的协方差矩阵。
weightsLumley returns a vector of weights.
weightsLumley返回一个向量的权重。
参考文献----------References----------
Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression. Journal of the Royal Statistical Society B, 61, 459–477.
参见----------See Also----------
vcovHAC, weightsAndrews,
vcovHAC，weightsAndrews，
实例----------Examples----------
x <- sin(1:100)
y <- 1 + x + rnorm(100)
fm <- lm(y ~ x)
weave(fm)
vcov(fm)
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
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发表于 2012-9-29 22:14:36
