I am not a Bayesian. In the non-Bayesian case you would use SUR to model both equations simultaneously. If both use the exact same matrix of data, X (i.e., the value are numerically absolutely identical), then SUR will collapse to OLS. In that sense you get a "combined" estimate using SUR that respects the correlation of the error terms between equations. However, it will be efficient to estimate each equation individually if the Xs are exactly the same.
Daniel zeec wrote: > > Hi, > > I have a question regarding the modeling methodology of the following > problem: > > * I have two data sets {X_i,y_i} {X_i,z_i}, i=1..N, > where y_i = f(X_i) + i.i.d. Gaussian noise > and z_i = g(X_i) + i.i.d. Gaussian noise > * I apply bayesian linear regression to each of them and obtain > p(y|X) and p(z|X) > > I would like to improve the prediction of the two models using the > knowledge that > f and g are related (for example f(X_i) = g(X_i) - 1). I can obtain a > model p(y,z). > > I know that there are methods for multi-output regression, but I hope both > can be modeled independently and then combined. > > Thank you for your help! > Steffan > -- > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- View this message in context: http://r.789695.n4.nabble.com/Multi-output-regression-tp3804766p3804855.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.