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A note on centering in subsample selection for linear regression. (arXiv:2210.00111v1 [stat.ME]) http://arxiv.org/abs/2210.00111

A note on centering in subsample selection for linear regression

Centering is a commonly used technique in linear regression analysis. With centered data on both the responses and covariates, the ordinary least squares estimator of the slope parameter can be calculated from a model without the intercept. If a subsample is selected from a centered full data, the subsample is typically un-centered. In this case, is it still appropriate to fit a model without the intercept? The answer is yes, and we show that the least squares estimator on the slope parameter obtained from a model without the intercept is unbiased and it has a smaller variance covariance matrix in the Loewner order than that obtained from a model with the intercept. We further show that for noninformative weighted subsampling when a weighted least squares estimator is used, using the full data weighted means to relocate the subsample improves the estimation efficiency.

arxiv.org
October 4, 2022 at 3:20 AM · · feed2toot · 0 · 0 · 0
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