Author: psteitz
Date: Sun Jan 4 17:01:16 2009
New Revision: 731398
URL: http://svn.apache.org/viewvc?rev=731398&view=rev
Log:
Changed covariance matrix computation to use QR decomp.
Modified:
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/OLSMultipleLinearRegression.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java?rev=731398&r1=731397&r2=731398&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 17:01:16 2009
@@ -139,13 +139,17 @@
* </p>
* <p>Var(b) = (X<sup>T</sup>X)<sup>-1</sup>
* </p>
+ * <p>Uses QR decomposition to reduce (X<sup>T</sup>X)<sup>-1</sup>
+ * to (R<sup>T</sup>R)<sup>-1</sup>, with only the top p rows of
+ * R included, where p = the length of the beta vector.</p>
*
* @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();
+ int p = X.getColumnDimension();
+ RealMatrix Raug = qr.getR().getSubMatrix(0, p - 1 , 0, p - 1);
+ RealMatrix Rinv = new
LUDecompositionImpl(Raug).getSolver().getInverse();
+ return Rinv.multiply(Rinv.transpose());
}
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=731398&r1=731397&r2=731398&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 17:01:16 2009
@@ -156,10 +156,7 @@
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.
-
+ 455.478499142212}, errors, 1E-6);
}
/**
