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Re: st: Re: Finding a vector minimizing the variance with Stata 8.2


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Finding a vector minimizing the variance with Stata 8.2
Date   Mon, 17 Jul 2006 09:48:58 -0400

Presumably you want the minimum subject to w'w=1.
In that case get the smallest singular value of V --- findit singular value --

m.p.

Michael Blasnik wrote:


How about w=0? ;)

M Blasnik

----- Original Message ----- From: "Kristin J. Kleinjans" <kkleinjans@econ.dk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, July 17, 2006 9:27 AM
Subject: st: Finding a vector minimizing the variance with Stata 8.2



Dear Statalist,
I need to find a vector w such that
X=w'V w is minimized, where V is a variance-covariance matrix. I use Stata
8.2 - does anybody know if there is a way to do this?

Thank you,
Kristin

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