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7-1
i = 1, . . . , n
n
X
wi(yi 0 1xi)2
i=1
1 =
P
wi(xi xw )2
where xw and y w are the weighted means
P
xw =
wixi
P
wi
yw =
wiyi
.
P
wi
Some algebra shows that the weighted least squares estimates are still unbiased.
7-3
2
wi(xi xw )2
1
Var(0) = X
wi
+X
x2
w
wi(xi xw )2
7-4
n
X
i=1
7-5
where Var(i) = x2
i
yi
xi
x0i =
1
xi
0i =
i
.
xi
n
X
(yi0 1 0x0i)2
i=1
n
X
!2
1
yi
1 0
xi
i=1 xi
!
n
X
1
2
=
(y
x
)
0
1
i
i
2
x
i
i=1
=
wi.
7-8
X 0 = W 1/2X
0 = W 1/2.
Using the results from regular least squares we then get the
solution
=
X0
t
X0
1
X 0tY 0 =
1
t
X WX
X tW Y .
The Weights
7-10
The Weights
2
=
ni
7-11
Unknown Weights
One way to do this is possible when there are multiple repeated observations at each value of the covariate vector.
We can then estimate the variance of Y for each fixed covariate vector and use this to estimate the weights.
7-12
Pure Error
i = 1, . . . , nj ; j = 1, . . . , k.
7-13
Pure Error
Note that the pure error term does not depend on the mean
model at all.
nj
X
1
(yij y j )2
nj 1 i=1
j = 1, . . . , k.
7-14
Unknown Weights
For observational studies, however, this is generally not possible since we will not have repeated measures at each value
of the covariate(s).
In that case we can estimate the weights assigned to observations with a given level by an estimate of the variance for
that level of the categorical variable.
Two-Stage Estimation
7-16
Two-Stage Estimation
If the error variability does vary with the levels of this categorical variable then we can use
j2 =
X
1
ri2
nj 1 i:z =j
i
7-17
Two-Stage Estimation
cj =
j2
X
1
ri2
nj 1 i:z =j
i
n
1 X
ri2
n i=1
7-18
Indeed the authors acknowledge that the true sampling distributions are unlikely to be Student-t distributions and are
unknown so inference may be suspect.