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Posted to issues@commons.apache.org by "Mark Devaney (JIRA)" <ji...@apache.org> on 2010/07/21 20:43:51 UTC
[jira] Created: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
-------------------------------------------------------------------------------
Key: MATH-392
URL: https://issues.apache.org/jira/browse/MATH-392
Project: Commons Math
Issue Type: Bug
Affects Versions: 2.1
Reporter: Mark Devaney
Priority: Minor
Implementation of OLS/GLSMultipleLinearRegression is:
@Override
173 protected double calculateYVariance() {
174 RealVector residuals = calculateResiduals();
175 return residuals.dotProduct(residuals) /
176 (X.getRowDimension() - X.getColumnDimension());
177 }
This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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[jira] Commented: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Luc Maisonobe (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12892406#action_12892406 ]
Luc Maisonobe commented on MATH-392:
------------------------------------
There was an error in a file committed this afternoon. It should be OK now.
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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[jira] Updated: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Phil Steitz updated MATH-392:
-----------------------------
Fix Version/s: 2.2
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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[jira] Commented: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Mark Devaney (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12892352#action_12892352 ]
Mark Devaney commented on MATH-392:
-----------------------------------
Can't test a patch as I'm not able to build current repository version:
math/src/test/java/org/apache/commons/math/optimization/univariate/BrentOptimizerTest.java:[28,39] cannot find symbol
symbol : class SincFunction
Implementation for both GLS/OLS:
protected double calculateYVariance() {
return new Variance().evaluate(Y);
}
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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You can reply to this email to add a comment to the issue online.
[jira] Commented: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12892247#action_12892247 ]
Phil Steitz commented on MATH-392:
----------------------------------
Thank you for reporting this. Patches welcome!
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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[jira] Updated: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Mark Devaney (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Mark Devaney updated MATH-392:
------------------------------
Attachment: patch
corrected implementations of calculateYVariance() for OLS/GLSMultipleRegression
added unit tests for both calculateYVariance implementations
fixed AbstractMultipleRegression.estimateRegressionParametersStandardErrors() to use residuals
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
> Attachments: patch
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
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[jira] Resolved: (MATH-392) calculateYVariance in
OLS/GLSMultipleLinearRegression uses residuals not Y vars
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Phil Steitz resolved MATH-392.
------------------------------
Resolution: Fixed
Fixed in 987897. I added calcluate/estimateErrorVariance methods to return what was previously incorrectly reported as "Y variance."
Thanks for the patch!
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
> Attachments: patch
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable as the documentation suggests.
--
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You can reply to this email to add a comment to the issue online.