Forms the variance-covariance matrix for a list of variates (W. van den Berg).
Options
PRINT = string tokens |
Printed output (df, vcovariance); default df, vcov |
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WEIGHTS = variate Provides weights for the units of the variates; default * assumes that they all have weight one
VCOVARIANCE = symmetric matrix |
Saves the variance-covariance matrix |
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DF = scalar |
Saves the number of degrees of freedom of the (co)variances |
Parameter
DATA = variates |
Variates for which the matrix is to be calculated |
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Description
FVCOVARIANCE calculates vcovariance matrices for a set of variates which should be listed by the DATA parameter. The WEIGHTS option can provide a variate of weights for the units of the variates; by default these are all assumed to have weight one. The vcovariance matrix can be saved using the VCOVARIANCES option, and the degrees of freedom can be saved using DF option.
Printed output is controlled by the PRINT option with settings:
vcovariance |
prints the variance-covariance matrix, |
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df |
prints the degrees of freedom. |
By default both are printed.
Options: PRINT, WEIGHTS, VCOVARIANCES, DF.
Parameter: DATA.
Method
A SSPM structure is set up for the DATA variates, and its values are formed using the FSSPM directive. The corrected sums of squares and products are divided by the residual degrees of freedom to give the variance covariance matrix.
Action with RESTRICT
FVCOVARIANCE takes account of restrictions on any of the variates.
See also
Directive: FSSPM.
Procedures: FCORRELATION, ROBSSPM.
Commands for: Calculations and manipulation.
Example
CAPTION 'FVCOVARIANCE example',\
'Data from Draper & Smith, 1981, Applied Regression Analysis.';\
STYLE=meta,plain
VARIATE [VALUES=129,141,153,166,193,189,175,186,190,187,\
195,206,198,192,191,200,200] Employees
& [VALUES=21,22,22,20,25,23,20,23,20,20,\
22,19,22,22,21,21,22] Operatingdays
& [VALUES=7.107,6.373,6.796,9.208,14.792,\
14.564,11.964,13.526,12.656,14.119,16.691,\
14.571,13.619,14.575,14.556,18.573,15.618] Production
& [VALUES=58.8,65.2,70.9,77.4,79.3,81,71.9,63.9,54.5,39.5,\
44.5,43.6,56,64.7,73,78.9,79.4] Temperature
& [VALUES=3.067,2.828,2.891,2.994,3.082,\
3.898,3.502,3.06,3.211,3.286,3.542,\
3.125,3.022,2.922,3.95,4.488,3.295] Wateruse
FVCOVARIANCE Employees,Operatingdays,Production,Temperature,Wateruse