Linear weighted regression


O

oliver

Hi all,

I would like to perform a weighted linear regression. Does
anybody know about an add-in that is able to perform such
an analysis?

Unfortunately, the Data-Analysis-Add-In is only good for
unweighted regressions.

Thanks a lot for your help!!

oliver
 
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J

Jerry W. Lewis

Calculate a weighted average by

=SUMPRODUCT(<y-data>,<weights>)/SUM(<weights>)

(handle x-data analogously). The slope of weighted linear regression is
then

=SUMPRODUCT(<y-data>-<y-wtd_ave>,<x-data>-<x-wtd_ave>,<weights>) /
SUMPRODUCT((<x-data>-<x-wtd_ave>)^2,<weights>)

and the intercept of weighted linear regression is

=<y-wtd_ave> - <x-wtd_ave>*<wtd_slope>

These should work if there is no missing data. With missing data, you
must insure that the averages do not include unmatched data.

Jerry
 

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