Working_Hoteling: Compute Working-Hoteling Confidence Bands

In ryan-heslin/RegLesson: Linear Regression from Scratch

Compute Working-Hoteling Confidence Bands

Description

Compute Working-Hoteling Confidence Bands

Usage

Working_Hoteling(
  X,
  X_h,
  betas,
  Y_h = simple_fit(X_h, betas),
  covariance,
  alpha = 0.05,
  n,
  p,
  MSE
)

Arguments

X	Design matrix of the linear model.
X_h	Matrix of observations to fit the interval for.
betas	Estimated regression coefficients.
Y_h	1 \times h
covariance	p \times p covariance matrix of beta coefficients.
alpha	Significance level for the interval.
n	Number of rows in the data matrix.
p	Number of parameters in the model.
MSE	Estimated mean squared error.

Details

Given fitted values or enough data to compute them, computes the boundaries of the Working-Hoteling interval estimates.

Value

h \times 3 matrix of interval bounds

ryan-heslin/RegLesson documentation built on Aug. 5, 2022, 9:03 p.m.