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Generalized Least-Squares Regressions V: Multiple Variables, Nataniel Greene
Generalized Least-Squares Regressions V: Multiple Variables, Nataniel Greene
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The multivariate theory of generalized least-squares is formulated here using the notion of generalized means. The multivariate generalized least-squares problem seeks an m dimensional hyperplane which minimizes the average generalized mean of the square deviations between the data and the hyperplane in m + 1 variables. The numerical examples presented suggest that a multivariate generalized least-squares method can be preferable to ordinary least-squares especially in situations where the data are ill- conditioned.