# mvregress

Multivariate linear regression

## Syntax

## Description

returns
the estimated coefficients for a multivariate normal regression of
the `beta`

= mvregress(`X`

,`Y`

)*d*-dimensional responses in `Y`

on
the design matrices in `X`

.

returns
the estimated coefficients using additional options specified by one
or more name-value pair arguments. For example, you can specify the
estimation algorithm, initial estimate values, or maximum number of
iterations for the regression.`beta`

= mvregress(`X`

,`Y`

,`Name,Value`

)

## Examples

### Multivariate Regression Model for Panel Data with Different Intercepts

Fit a multivariate regression model to panel data, assuming different intercepts and common slopes.

Load the sample data.

`load('flu')`

The dataset array `flu`

contains national CDC flu estimates, and nine separate regional estimates based on Google® query data.

Extract the response and predictor data.

Y = double(flu(:,2:end-1)); [n,d] = size(Y); x = flu.WtdILI;

The responses in `Y`

are the nine regional flu estimates. Observations exist for every week over a one-year period, so $$n$$ = 52. The dimension of the responses corresponds to the regions, so $$d$$ = 9. The predictors in `x`

are the weekly national flu estimates.

Plot the flu data, grouped by region.

figure; regions = flu.Properties.VarNames(2:end-1); plot(x,Y,'x') legend(regions,'Location','NorthWest')

Fit the multivariate regression model $${y}_{ij}={\alpha}_{j}+\beta {x}_{ij}+{\u03f5}_{ij}$$, where $$i=1,\dots ,n$$ and $$j=1,\dots ,d$$, with between-region concurrent correlation $$COV({\u03f5}_{ij},{\u03f5}_{ij})={\sigma}_{jj}$$.

There are $$K$$ = 10 regression coefficients to estimate: nine intercept terms and a common slope. The input argument `X`

should be an $$n$$-element cell array of $$d$$ -by- $$K$$ design matrices.

X = cell(n,1); for i = 1:n X{i} = [eye(d) repmat(x(i),d,1)]; end [beta,Sigma] = mvregress(X,Y);

`beta`

contains estimates of the $$K$$-dimensional coefficient vector $$({\alpha}_{1},{\alpha}_{2},\dots ,{\alpha}_{9},\beta {)}^{\prime}$$.

`Sigma`

contains estimates of the $$d$$ -by- $$d$$ variance-covariance matrix $${({\sigma}_{ij})}_{d\times d}$$, $$i,j=1,\dots ,d$$ for the between-region concurrent correlations.

Plot the fitted regression model.

B = [beta(1:d)';repmat(beta(end),1,d)]; xx = linspace(.5,3.5)'; fits = [ones(size(xx)),xx]*B; figure; h = plot(x,Y,'x',xx,fits,'-'); for i = 1:d set(h(d+i),'color',get(h(i),'color')); end legend(regions,'Location','NorthWest');

The plot shows that each regression line has a different intercept but the same slope. Upon visual inspection, some regression lines appear to fit the data better than others.

### Multivariate Regression for Panel Data with Different Slopes

Fit a multivariate regression model to panel data using least squares, assuming different intercepts and slopes.

Load the sample data.

`load('flu');`

The dataset array `flu`

contains national CDC flu estimates, and nine separate regional estimates based on Google® queries.

Extract the response and predictor data.

Y = double(flu(:,2:end-1)); [n,d] = size(Y); x = flu.WtdILI;

The responses in `Y`

are the nine regional flu estimates. Observations exist for every week over a one-year period, so $$n$$ = 52. The dimension of the responses corresponds to the regions, so $$d$$ = 9. The predictors in `x`

are the weekly national flu estimates.

Fit the multivariate regression model $${y}_{ij}={\alpha}_{j}+{\beta}_{j}{x}_{ij}+{\u03f5}_{ij}$$, where $$i=1,\dots ,n$$ and $$j=1,\dots ,d$$, with between-region concurrent correlation $$COV({\u03f5}_{ij},{\u03f5}_{ij})={\sigma}_{jj}$$.

There are $$K$$ = 18 regression coefficients to estimate: nine intercept terms, and nine slope terms. `X`

is an $$n$$-element cell array of $$d$$ -by- $$K$$ design matrices.

X = cell(n,1); for i = 1:n X{i} = [eye(d) x(i)*eye(d)]; end [beta,Sigma] = mvregress(X,Y,'algorithm','cwls');

`beta`

contains estimates of the $$K$$-dimensional coefficient vector $$({\alpha}_{1},{\alpha}_{2},\dots ,{\alpha}_{9},{\beta}_{1},{\beta}_{2},\dots ,{\beta}_{9}{)}^{\prime}$$.

Plot the fitted regression model.

B = [beta(1:d)';beta(d+1:end)']; xx = linspace(.5,3.5)'; fits = [ones(size(xx)),xx]*B; figure; h = plot(x,Y,'x',xx,fits,'-'); for i = 1:d set(h(d+i),'color',get(h(i),'color')); end regions = flu.Properties.VarNames(2:end-1); legend(regions,'Location','NorthWest');

The plot shows that each regression line has a different intercept and slope.

### Multivariate Regression With a Single Design Matrix

Fit a multivariate regression model using a single $$n$$-by-$$P$$ design matrix for all response dimensions.

Load the sample data.

`load('flu')`

The dataset array `flu`

contains national CDC flu estimates, and nine separate regional estimates based on Google® queries.

Extract the response and predictor data.

Y = double(flu(:,2:end-1)); [n,d] = size(Y); x = flu.WtdILI;

The responses in `Y`

are the nine regional flu estimates. Observations exist for every week over a one-year period, so $$n$$ = 52. The dimension of the responses corresponds to the regions, so $$d$$ = 9. The predictors in `x`

are the weekly national flu estimates.

Create an $$n$$ -by- $$P$$ design matrix `X`

. Add a column of ones to include a constant term in the regression.

X = [ones(size(x)),x];

Fit the multivariate regression model

$${y}_{ij}={\alpha}_{j}+{\beta}_{j}{x}_{ij}+{\u03f5}_{ij},$$

where $$i=1,\dots ,n$$ and $$j=1,\dots ,d$$, with between-region concurrent correlation

$$COV({\u03f5}_{ij},{\u03f5}_{ij})={\sigma}_{jj}.$$

There are 18 regression coefficients to estimate: nine intercept terms, and nine slope terms.

[beta,Sigma,E,CovB,logL] = mvregress(X,Y);

`beta`

contains estimates of the $$P$$-by-$$d$$ coefficient matrix. `Sigma`

contains estimates of the $$d$$-by-$$d$$ variance-covariance matrix for the between-region concurrent correlations. `E`

is a matrix of the residuals. `CovB`

is the estimated variance-covariance matrix of the regression coefficients. `logL`

is the value of the log likelihood objective function after the last iteration.

Plot the fitted regression model.

B = beta; xx = linspace(.5,3.5)'; fits = [ones(size(xx)),xx]*B; figure h = plot(x,Y,'x', xx,fits,'-'); for i = 1:d set(h(d+i),'color',get(h(i),'color')) end regions = flu.Properties.VarNames(2:end-1); legend(regions,'Location','NorthWest')

The plot shows that each regression line has a different intercept and slope.

## Input Arguments

`X`

— Design matrices

matrix | cell array of matrices

Design matrices for the multivariate regression, specified as
a matrix or cell array of matrices. *n* is the number
of observations in the data, *K* is the number of
regression coefficients to estimate, *p* is the number
of predictor variables, and *d* is the number of
dimensions in the response variable matrix `Y`

.

If

*d*= 1, then specify`X`

as a single*n*-by-*K*design matrix.If

*d*> 1 and all*d*dimensions have the same design matrix, then you can specify`X`

as a single*n*-by-*p*design matrix (not in a cell array).If

*d*> 1 and all*n*observations have the same design matrix, then you can specify`X`

as a cell array containing a single*d*-by-*K*design matrix.If

*d*> 1 and all*n*observations do not have the same design matrix, then specify`X`

as a cell array of length*n*containing*d*-by-*K*design matrices.

To include a constant term in the regression model, each design matrix should contain a column of ones.

`mvregress`

treats `NaN`

values
in `X`

as missing values, and ignores rows in `X`

with
missing values.

**Data Types: **`single`

| `double`

| `cell`

`Y`

— Response variables

matrix

Response variables, specified as an *n*-by-*d* matrix. *n* is
the number of observations in the data, and *d* is
the number of dimensions in the response. When *d* =
1, `mvregress`

treats the values in `Y`

like *n* independent
response values.

`mvregress`

treats `NaN`

values
in `Y`

as missing values, and handles them according
to the estimation algorithm specified using the name-value pair argument `algorithm`

.

**Data Types: **`single`

| `double`

### Name-Value Arguments

Specify optional pairs of arguments as
`Name1=Value1,...,NameN=ValueN`

, where `Name`

is
the argument name and `Value`

is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.

*
Before R2021a, use commas to separate each name and value, and enclose*
`Name`

*in quotes.*

**Example: **`'algorithm','cwls','covar0',C`

specifies
covariance-weighted least squares estimation using the covariance
matrix `C`

.

`algorithm`

— Estimation algorithm

`'mvn'`

| `'ecm'`

| `'cwls'`

Estimation algorithm, specified as the comma-separated pair
consisting of `'algorithm'`

and one of the following.

`'mvn'` | Ordinary multivariate normal maximum likelihood estimation. |

`'ecm'` | Maximum likelihood estimation via the ECM algorithm. |

`'cwls'` | Covariance-weighted least squares estimation. |

The default algorithm depends on the presence of missing data.

For complete data, the default is

`'mvn'`

.If there are any missing responses (indicated by

`NaN`

), the default is`'ecm'`

, provided the sample size is sufficient to estimate all parameters. Otherwise, the default algorithm is`'cwls'`

.

**Note**

If `algorithm`

has the value `'mvn'`

,
then `mvregress`

removes observations with missing
response values before estimation.

**Example: **`'algorithm','ecm'`

`beta0`

— Initial estimates for regression coefficients

vector

Initial estimates for the regression coefficients, specified
as the comma-separated pair consisting of `'beta0'`

and
a vector with *K* elements. The default value is
a vector of 0s.

The `beta0`

argument is not used if the estimation `algorithm`

is `'mvn'`

.

`covar0`

— Initial estimate for variance-covariance matrix

matrix

Initial estimate for the variance-covariance matrix, `Sigma`

,
specified as the comma-separated pair consisting of `'covar0'`

and
a symmetric, positive definite, *d*-by-*d* matrix.
The default value is the identity matrix.

If the estimation `algorithm`

is `'cwls'`

,
then `mvregress`

uses `covar0`

as
the weighting matrix at each iteration, without changing it.

`covtype`

— Type of variance-covariance matrix

`'full'`

(default) | `'diagonal'`

Type of variance-covariance matrix to estimate for `Y`

,
specified as the comma-separated pair consisting of `'covtype'`

and
one of the following.

`'full'` | Estimate all d(d + 1)/2
variance-covariance elements. |

`'diagonal'` | Estimate only the d diagonal elements of
the variance-covariance matrix. |

**Example: **`'covtype','diagonal'`

`maxiter`

— Maximum number of iterations

`100`

(default) | positive integer

Maximum number of iterations for the estimation algorithm, specified
as the comma-separated pair consisting of `'maxiter'`

and
a positive integer.

Iterations continue until estimates are within the convergence
tolerances `tolbeta`

and `tolobj`

,
or the maximum number of iterations specified by `maxiter`

is
reached. If both `tolbeta`

and `tolobj`

are
0, then `mvregress`

performs `maxiter`

iterations
with no convergence tests.

**Example: **`'maxiter',50`

`outputfcn`

— Function to evaluate each iteration

function handle

Function to evaluate at each iteration, specified as the comma-separated
pair consisting of `'outputfcn'`

and a function handle.
The function must return a logical `true`

or `false`

.
At each iteration, `mvregress`

evaluates the function.
If the result is `true`

, iterations stop. Otherwise,
iterations continue. For example, you could specify a function that
plots or displays current iteration results, and returns `true`

if
you close the figure.

The function must accept three input arguments, in this order:

Vector of current coefficient estimates

Structure containing these three fields:

`Covar`

Current value of the variance-covariance matrix `iteration`

Current iteration number `fval`

Current value of the loglikelihood objective function Text that takes these three values:

`'init'`

When the function is called during initialization `'iter'`

When the function is called after an iteration `'done'`

When the function is called after completion

`tolbeta`

— Convergence tolerance for regression coefficients

`sqrt(eps)`

(default) | positive scalar value

Convergence tolerance for regression coefficients, specified
as the comma-separated pair consisting of `'tolbeta'`

and
a positive scalar value.

Let $${b}^{t}$$ denote the estimate of the coefficient
vector at iteration *t*, and $${\tau}_{\beta}$$ be the tolerance specified by `tolbeta`

.
The convergence criterion for regression coefficient estimation is

$$\Vert {b}^{t}-{b}^{t-1}\Vert <{\tau}_{\beta}\sqrt{K}\left(1+\Vert {b}^{t}\Vert \right),$$

where *K* is the length of $${b}^{t}$$ and $$\Vert v\Vert $$ is the norm of a vector $$v.$$

Iterations continue until estimates are within the convergence
tolerances `tolbeta`

and `tolobj`

,
or the maximum number of iterations specified by `maxiter`

is
reached. If both `tolbeta`

and `tolobj`

are
0, then `mvregress`

performs `maxiter`

iterations
with no convergence tests.

**Example: **`'tolbeta',1e-5`

`tolobj`

— Convergence tolerance for loglikelihood objective function

`eps^(3/4)`

(default) | positive scalar value

Convergence tolerance for the loglikelihood objective function,
specified as the comma-separated pair consisting of `'tolobj'`

and
a positive scalar value.

Let $${L}^{t}$$ denote the value of the loglikelihood
objective function at iteration *t*, and $${\tau}_{\ell}$$ be the tolerance specified by `tolobj`

.
The convergence criterion for the objective function is

$$\left|{L}^{t}-{L}^{t-1}\right|<{\tau}_{\ell}\left(1+\left|{L}^{t}\right|\right).$$

Iterations continue until estimates are within the convergence
tolerances `tolbeta`

and `tolobj`

,
or the maximum number of iterations specified by `maxiter`

is
reached. If both `tolbeta`

and `tolobj`

are
0, then `mvregress`

performs `maxiter`

iterations
with no convergence tests.

**Example: **`'tolobj',1e-5`

`varformat`

— Format for parameter estimate variance-covariance matrix

`'beta'`

(default) | `'full'`

Format for the parameter estimate variance-covariance matrix, `CovB`

,
specified as the comma-separated pair consisting of `'varformat'`

and
one of the following.

`'beta'` | Return the variance-covariance matrix for only the regression
coefficient estimates, `beta` . |

`'full'` | Return the variance-covariance matrix for both the regression
coefficient estimates, `beta` , and the variance-covariance
matrix estimate, `Sigma` . |

**Example: **`'varformat','full'`

`vartype`

— Type of variance-covariance matrix for parameter estimates

`'hessian'`

(default) | `'fisher'`

Type of variance-covariance matrix for parameter estimates,
specified as the comma-separated pair consisting of `'vartype'`

and
either `'hessian'`

or `'fisher'`

.

If the value is

`'hessian'`

, then`mvregress`

uses the Hessian, or observed information, matrix to compute`CovB`

.If the value is

`'fisher'`

, then`mvregress`

uses the complete-data Fisher, or expected information, matrix to compute`CovB`

.

The `'hessian'`

method takes into account the
increase uncertainties due to missing data, while the `'fisher'`

method
does not.

**Example: **`'vartype','fisher'`

## Output Arguments

`beta`

— Estimated regression coefficients

column vector | matrix

Estimated regression coefficients, returned as a column vector or matrix.

If you specify

`X`

as a single*n*-by-*K*design matrix, then`mvregress`

returns`beta`

as a column vector of length*K*. For example, if`X`

is a 20-by-5 design matrix, then`beta`

is a 5-by-1 column vector.If you specify

`X`

as a cell array containing one or more*d*-by-*K*design matrices, then`mvregress`

returns`beta`

as a column vector of length*K*. For example, if`X`

is a cell array containing 2-by-10 design matrices, then`beta`

is a 10-by-1 column vector.If you specify

`X`

as a single*n*-by-*p*design matrix (not in a cell array), and`Y`

has dimension*d*> 1, then`mvregress`

returns`beta`

as a*p*-by-*d*matrix. For example, if`X`

is a 20-by-5 design matrix, and`Y`

has two dimensions such that*d*= 2, then`beta`

is a 5-by-2 matrix, and the fitted`Y`

values are`X`

×`beta`

.

`E`

— Residuals

matrix

Residuals for the fitted regression model, returned as an *n*-by-*d* matrix.

If `algorithm`

has the value `'ecm'`

or `'cwls'`

,
then `mvregress`

computes the residual values corresponding
to missing values in `Y`

as the difference between
the conditionally
imputed values and the fitted values.

**Note**

If `algorithm`

has the value `'mvn'`

,
then `mvregress`

removes observations with missing
response values before estimation.

`CovB`

— Parameter estimate variance-covariance matrix

square matrix

Parameter estimate variance-covariance matrix, returned as a square matrix.

`logL`

— Loglikelihood objective function value

scalar value

Loglikelihood objective function value after the last iteration, returned as a scalar value.

## More About

### Multivariate Normal Regression

Multivariate normal regression is the regression
of a *d*-dimensional response on a design matrix
of predictor variables, with normally distributed errors. The errors
can be heteroscedastic and correlated.

The model is

$${y}_{i}={X}_{i}\beta +{e}_{i},\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}i=1,\dots ,n,$$

where

$${y}_{i}$$ is a

*d*-dimensional vector of responses.$${X}_{i}$$ is a design matrix of predictor variables.

$$\beta $$ is vector or matrix of regression coefficients.

$${e}_{i}$$ is a

*d*-dimensional vector of error terms, with multivariate normal distribution$${e}_{i}~MV{N}_{d}(0,\Sigma ).$$

### Conditionally Imputed Values

The expectation/conditional maximization (`'ecm'`

)
and covariance-weighted least squares (`'cwls'`

)
estimation algorithms include imputation of missing response values.

Let $$\tilde{y}$$ denote missing observations. The conditionally imputed values are the expected value of the missing observation given the observed data, $${\rm E}\left(\tilde{y}|y\right)$$.

The joint distribution of the missing and observed responses is a multivariate normal distribution,

$$\left(\begin{array}{l}\tilde{y}\\ y\end{array}\right)~MVN\left\{\left(\begin{array}{l}\tilde{X}\beta \\ X\beta \end{array}\right),\left(\begin{array}{cc}{\Sigma}_{\tilde{y}}& {\Sigma}_{\tilde{y}y}\\ {\Sigma}_{y\tilde{y}}& {\Sigma}_{y}\end{array}\right)\right\}.$$

Using properties of the multivariate normal distribution, the imputed conditional expectation is given by

$${\rm E}\left(\tilde{y}|y\right)=\tilde{X}\beta +{\Sigma}_{\tilde{y}y}{\Sigma}_{y}^{-1}(y-X\beta ).$$

**Note**

`mvregress`

only imputes missing response values.
Observations with missing values in the design matrix are removed.

## References

[1] Little, Roderick J. A., and Donald B.
Rubin. *Statistical Analysis with Missing Data*.
2nd ed., Hoboken, NJ: John Wiley & Sons, Inc., 2002.

[2] Meng, Xiao-Li, and Donald B. Rubin. “Maximum
Likelihood Estimation via the ECM Algorithm.” *Biometrika*.
Vol. 80, No. 2, 1993, pp. 267–278.

[3] Sexton, Joe, and A. R. Swensen. “ECM
Algorithms that Converge at the Rate of EM.” *Biometrika*.
Vol. 87, No. 3, 2000, pp. 651–662.

[4] Dempster, A. P., N. M. Laird, and D. B.
Rubin. “Maximum Likelihood from Incomplete Data via the EM
Algorithm.” *Journal of the Royal Statistical Society*.
Series B, Vol. 39, No. 1, 1977, pp. 1–37.

## Version History

**Introduced in R2006b**

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