NAG Library Routine Document

G02DGF

INTEGER	N, IP, IRANK, LDQ, IFAIL
REAL (KIND=nag_wp)	WT(), RSS, COV(IP(IP+1)/2), Q(LDQ,IP+1), P(), Y(N), B(IP), SE(IP), RES(N), WK(5(IP-1)+IP*IP)
LOGICAL	SVD
CHARACTER(1)	WEIGHT

3 Description

G02DGF uses the results given by G02DAF to fit the same set of independent variables to a new dependent variable.

G02DAF computes a

Q R

decomposition of the matrix of

p

independent variables and also, if the model is not of full rank, a singular value decomposition (SVD). These results can be used to compute estimates of the parameters for a general linear model with a new dependent variable. The

Q R

decomposition leads to the formation of an upper triangular

p

p

matrix

R

and an

n

n

orthogonal matrix

Q

. In addition the vector

c = Q^{T} y

(or

Q^{T} W^{1 / 2} y

) is computed. For a new dependent variable,

y_{new}

, G02DGF computes a new value of

c = Q^{T} y_{new}

Q^{T} W^{1 / 2} y_{new}

R

is of full rank, then the least squares parameter estimates,

\hat{β}

, are the solution to

R \hat{β} = c_{1},

where

c_{1}

is the first

p

elements of

c

R

is not of full rank, then G02DAF will have computed an SVD of

R

R = Q_{*} (\begin{array}{l} D & 0 \\ 0 & 0 \end{array}) P^{T},

where

D

is a

k

k

diagonal matrix with nonzero diagonal elements,

k

being the rank of

R

, and

Q_{*}

and

P

are

p

p

orthogonal matrices. This gives the solution

\hat{β} = P_{1} D^{- 1} Q_{*_{1}}^{T} c_{1},

P_{1}

being the first

k

columns of

P

, i.e.,

P = (P_{1} P_{0})

, and

Q_{*_{1}}

being the first

k

columns of

Q_{*}

. Details of the SVD are made available by G02DAF in the form of the matrix

P^{*}

P^{*} = (\begin{matrix} D^{- 1} P_{1}^{T} \\ P_{0}^{T} \end{matrix}) .

The matrix

Q_{*}

is made available through the workspace of G02DAF.

In addition to parameter estimates, the new residuals are computed and the variance-covariance matrix of the parameter estimates are found by scaling the variance-covariance matrix for the original regression.

4 References

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

Hammarling S (1985) The singular value decomposition in multivariate statistics SIGNUM Newsl. 20(3) 2–25

Searle S R (1971) Linear Models Wiley

5 Parameters

1: $WEIGHT$ – CHARACTER(1)Input

On entry: indicates if weights are to be used.

$WEIGHT ='U'$: Least squares estimation is used.
$WEIGHT ='W'$: Weighted least squares is used and weights must be supplied in array WT.

Constraint:

WEIGHT ='U'

'W'

2: $N$ – INTEGERInput

On entry:

n

, the number of observations.

Constraint:

N \geq IP

3: $WT (*)$ – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array WT must be at least

N

WEIGHT ='W'

, and at least

1

otherwise.

On entry: if

WEIGHT ='W'

>, WT must contain the weights to be used in the weighted regression.

WT (i) = 0.0

, the

i

th observation is not included in the model, in which case the effective number of observations is the number of observations with nonzero weights.

WEIGHT ='U'

, WT is not referenced and the effective number of observations is

n

Constraint: if

WEIGHT ='W'

WT (i) \geq 0.0

, for

i = 1, 2, \dots, n

4: $RSS$ – REAL (KIND=nag_wp)Input/Output

On entry: the residual sum of squares for the original dependent variable.

On exit: the residual sum of squares for the new dependent variable.

Constraint:

RSS > 0.0

5: $IP$ – INTEGERInput

On entry:

p

, the number of independent variables (including the mean if fitted).

Constraint:

1 \leq IP \leq N

6: $IRANK$ – INTEGERInput

On entry: the rank of the independent variables, as given by G02DAF.

Constraint:

IRANK > 0

, and if

SVD = .FALSE.

, then

IRANK = IP

, else

IRANK \leq IP

7: $COV (IP \times (IP + 1) / 2)$ – REAL (KIND=nag_wp) arrayInput/Output

On entry: the covariance matrix of the parameter estimates as given by G02DAF.

On exit: the upper triangular part of the variance-covariance matrix of the IP parameter estimates given in B. They are stored packed by column, i.e., the covariance between the parameter estimate given in

B (i)

and the parameter estimate given in

B (j)

j \geq i

, is stored in

COV ((j \times (j - 1) / 2 + i))

8: $Q (LDQ, IP + 1)$ – REAL (KIND=nag_wp) arrayInput/Output

On entry: the results of the

Q R

decomposition as returned by G02DAF.

On exit: the first column of Q contains the new values of

c

, the remainder of Q will be unchanged.

9: $LDQ$ – INTEGERInput

On entry: the first dimension of the array Q as declared in the (sub)program from which G02DGF is called.

Constraint:

LDQ \geq N

10: $SVD$ – LOGICALInput

On entry: indicates if a singular value decomposition was used by G02DAF.

$SVD = .TRUE.$: A singular value decomposition was used by G02DAF.
$SVD = .FALSE.$: A singular value decomposition was not used by G02DAF.

11: $P (*)$ – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array P must be at least

IP

SVD = .FALSE.

, and at least

IP \times IP + 2 \times IP

otherwise.

On entry: details of the

Q R

decomposition and SVD, if used, as returned in array P by G02DAF.

SVD = .FALSE.

, only the first IP elements of P are used; these contain the zeta values for the

Q R

decomposition (see F08AEF (DGEQRF) for details).

SVD = .TRUE.

, the first IP elements of P contain the zeta values for the

Q R

decomposition (see F08AEF (DGEQRF) for details) and the next

IP \times IP + IP

elements of P contain details of the singular value decomposition.

12: $Y (N)$ – REAL (KIND=nag_wp) arrayInput

On entry: the new dependent variable,

y_{new}

13: $B (IP)$ – REAL (KIND=nag_wp) arrayOutput

On exit: the least squares estimates of the parameters of the regression model,

\hat{β}

14: $SE (IP)$ – REAL (KIND=nag_wp) arrayOutput

On exit: the standard error of the estimates of the parameters.

15: $RES (N)$ – REAL (KIND=nag_wp) arrayOutput

On exit: the residuals for the new regression model.

16: $WK (5 \times (IP - 1) + IP \times IP)$ – REAL (KIND=nag_wp) arrayInput

On entry: if

SVD = .TRUE.

, WK must be unaltered from the previous call to G02DAF or G02DGF.

SVD = .FALSE.

, WK is used as workspace.

17: $IFAIL$ – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

$IFAIL = 1$

On entry,	$IP < 1$ ,
or	$N < IP$ ,
or	$IRANK \leq 0$ ,
or	$SVD = .FALSE.$ and $IRANK \neq IP$ ,
or	$SVD = .TRUE.$ and $IRANK > IP$ ,
or	$LDQ < N$ ,
or	$RSS \leq 0.0$ ,
or	$WEIGHT \neq'U'$ or $'W'$ .

$IFAIL = 2$

On entry,

WEIGHT ='W'

and a value of

WT < 0.0

$IFAIL = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.8 in the Essential Introduction for further information.

$IFAIL = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.7 in the Essential Introduction for further information.

$IFAIL = - 999$: Dynamic memory allocation failed.
See Section 3.6 in the Essential Introduction for further information.

7 Accuracy

The same accuracy as G02DAF is obtained.

8 Parallelism and Performance

G02DGF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

G02DGF makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.

Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

The values of the leverages,

h_{i}

, are unaltered by a change in the dependent variable so a call to G02FAF can be made using the value of H from G02DAF.

10 Example

A dataset consisting of

12

observations with four independent variables and two dependent variables are read in. A model with all four independent variables is fitted to the first dependent variable by G02DAF and the results printed. The model is then fitted to the second dependent variable by G02DGF and those results printed.

NAG Library Routine DocumentG02DGF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

NAG Library Routine Document

G02DGF