Author: psteitz
Date: Sun Jan 4 12:39:45 2009
New Revision: 731356
URL: http://svn.apache.org/viewvc?rev=731356&view=rev
Log:
Added standard errors.
Modified:
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/MultipleLinearRegression.java
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
commons/proper/math/trunk/src/test/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
Modified:
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java?rev=731356&r1=731355&r2=731356&view=diff
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
(original)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
Sun Jan 4 12:39:45 2009
@@ -139,6 +139,20 @@
public double[][] estimateRegressionParametersVariance() {
return calculateBetaVariance().getData();
}
+
+ /**
+ * {...@inheritdoc}
+ */
+ public double[] estimateRegressionParametersStandardErrors() {
+ double[][] betaVariance = estimateRegressionParametersVariance();
+ double sigma = calculateYVariance();
+ int length = betaVariance[0].length;
+ double[] result = new double[length];
+ for (int i = 0; i < length; i++) {
+ result[i] = Math.sqrt(sigma * betaVariance[i][i]);
+ }
+ return result;
+ }
/**
* {...@inheritdoc}
Modified:
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/MultipleLinearRegression.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/MultipleLinearRegression.java?rev=731356&r1=731355&r2=731356&view=diff
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/MultipleLinearRegression.java
(original)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/MultipleLinearRegression.java
Sun Jan 4 12:39:45 2009
@@ -59,5 +59,12 @@
* @return The double representing the variance of y
*/
double estimateRegressandVariance();
+
+ /**
+ * Returns the standard errors of the regression parameters.
+ *
+ * @return standard errors of estimated regression parameters
+ */
+ double[] estimateRegressionParametersStandardErrors();
}
Modified:
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java?rev=731356&r1=731355&r2=731356&view=diff
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
(original)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
Sun Jan 4 12:39:45 2009
@@ -143,6 +143,7 @@
* @return The beta variance
*/
protected RealMatrix calculateBetaVariance() {
+ //TODO: find a way to use QR decomp to avoid inverting XX' here
RealMatrix XTX = X.transpose().multiply(X);
return new LUDecompositionImpl(XTX).getSolver().getInverse();
}
Modified:
commons/proper/math/trunk/src/test/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java?rev=731356&r1=731355&r2=731356&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
(original)
+++
commons/proper/math/trunk/src/test/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
Sun Jan 4 12:39:45 2009
@@ -149,8 +149,17 @@
1E-8);
// Check standard errors from NIST
- double[][] errors = model.estimateRegressionParametersVariance();
- //TODO: translate this into std error vector and check
+ double[] errors = model.estimateRegressionParametersStandardErrors();
+ TestUtils.assertEquals(new double[] {890420.383607373,
+ 84.9149257747669,
+ 0.334910077722432E-01,
+ 0.488399681651699,
+ 0.214274163161675,
+ 0.226073200069370,
+ 455.478499142212}, errors, 1E-2); // Ugh..
+ // Bad accuracy is in intercept std error estimate. Could be due to
+ // Current impl inverting XX' to get standard errors.
+
}
/**
@@ -245,7 +254,15 @@
5.4326230830188482,-7.2375578629692230,2.1671550814448222,
15.0147574652763112,4.8625103516321015,-7.1597256413907706,
-0.4515205619767598,-10.2916870903837587,-15.7812984571900063},
- 1E-12);
+ 1E-12);
+
+ // Check standard errors from R
+ double[] errors = model.estimateRegressionParametersStandardErrors();
+ TestUtils.assertEquals(new double[] {6.94881329475087,
+ 0.07360008972340,
+ 0.27410957467466,
+ 0.19454551679325,
+ 0.03726654773803}, errors, 1E-10);
}
/**
