org.apache.commons.math3.stat.regression
Class MillerUpdatingRegression

java.lang.Object
  org.apache.commons.math3.stat.regression.MillerUpdatingRegression

All Implemented Interfaces:

UpdatingMultipleLinearRegression

public class MillerUpdatingRegression
extends Object
implements UpdatingMultipleLinearRegression

This class is a concrete implementation of the UpdatingMultipleLinearRegression interface.

The algorithm is described in:

 Algorithm AS 274: Least Squares Routines to Supplement Those of Gentleman
 Author(s): Alan J. Miller
 Source: Journal of the Royal Statistical Society.
 Series C (Applied Statistics), Vol. 41, No. 2
 (1992), pp. 458-478
 Published by: Blackwell Publishing for the Royal Statistical Society
 Stable URL: http://www.jstor.org/stable/2347583 

This method for multiple regression forms the solution to the OLS problem by updating the QR decomposition as described by Gentleman.

Since:

3.0

Version:

$Id: MillerUpdatingRegression.java 7721 2013-02-14 14:07:13Z CardosoP $

Constructor Summary

MillerUpdatingRegression(int numberOfVariables, boolean includeConstant)
Primary constructor for the MillerUpdatingRegression.

MillerUpdatingRegression(int numberOfVariables, boolean includeConstant, double errorTolerance)
This is the augmented constructor for the MillerUpdatingRegression class.

Method Summary

void	addObservation(double[] x, double y) Adds an observation to the regression model.
void	addObservations(double[][] x, double[] y) Adds multiple observations to the model.
void	clear() As the name suggests, clear wipes the internals and reorders everything in the canonical order.
double	getDiagonalOfHatMatrix(double[] row_data) Gets the diagonal of the Hat matrix also known as the leverage matrix.
long	getN() Gets the number of observations added to the regression model.
int[]	getOrderOfRegressors() Gets the order of the regressors, useful if some type of reordering has been called.
double[]	getPartialCorrelations(int in) In the original algorithm only the partial correlations of the regressors is returned to the user.
boolean	hasIntercept() A getter method which determines whether a constant is included.
RegressionResults	regress() Conducts a regression on the data in the model, using all regressors.
RegressionResults	regress(int numberOfRegressors) Conducts a regression on the data in the model, using a subset of regressors.
RegressionResults	regress(int[] variablesToInclude) Conducts a regression on the data in the model, using regressors in array Calling this method will change the internal order of the regressors and care is required in interpreting the hatmatrix.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MillerUpdatingRegression

public MillerUpdatingRegression(int numberOfVariables,
                                boolean includeConstant,
                                double errorTolerance)
                         throws ModelSpecificationException

This is the augmented constructor for the MillerUpdatingRegression class.

Parameters:

numberOfVariables - number of regressors to expect, not including constant

includeConstant - include a constant automatically

errorTolerance - zero tolerance, how machine zero is determined

Throws:

ModelSpecificationException - if numberOfVariables is less than 1

MillerUpdatingRegression

public MillerUpdatingRegression(int numberOfVariables,
                                boolean includeConstant)
                         throws ModelSpecificationException

Primary constructor for the MillerUpdatingRegression.

Parameters:

numberOfVariables - maximum number of potential regressors

includeConstant - include a constant automatically

Throws:

ModelSpecificationException - if numberOfVariables is less than 1

Method Detail

hasIntercept

public boolean hasIntercept()

A getter method which determines whether a constant is included.

Specified by:

hasIntercept in interface UpdatingMultipleLinearRegression

Returns:

true regression has an intercept, false no intercept

getN

public long getN()

Gets the number of observations added to the regression model.

Specified by:

getN in interface UpdatingMultipleLinearRegression

Returns:

number of observations

addObservation

public void addObservation(double[] x,
                           double y)
                    throws ModelSpecificationException

Adds an observation to the regression model.

Specified by:

addObservation in interface UpdatingMultipleLinearRegression

Parameters:

x - the array with regressor values

y - the value of dependent variable given these regressors

Throws:

ModelSpecificationException - if the length of x does not equal the number of independent variables in the model

addObservations

public void addObservations(double[][] x,
                            double[] y)
                     throws ModelSpecificationException

Adds multiple observations to the model.

Specified by:

addObservations in interface UpdatingMultipleLinearRegression

Parameters:

x - observations on the regressors

y - observations on the regressand

Throws:

ModelSpecificationException - if x is not rectangular, does not match the length of y or does not contain sufficient data to estimate the model

clear

public void clear()

As the name suggests, clear wipes the internals and reorders everything in the canonical order.

Specified by:

clear in interface UpdatingMultipleLinearRegression

getPartialCorrelations

public double[] getPartialCorrelations(int in)

In the original algorithm only the partial correlations of the regressors is returned to the user. In this implementation, we have

 corr =
 {
   corrxx - lower triangular
   corrxy - bottom row of the matrix
 }
 Replaces subroutines PCORR and COR of:
 ALGORITHM AS274  APPL. STATIST. (1992) VOL.41, NO. 2 

Calculate partial correlations after the variables in rows 1, 2, ..., IN have been forced into the regression. If IN = 1, and the first row of R represents a constant in the model, then the usual simple correlations are returned.

If IN = 0, the value returned in array CORMAT for the correlation of variables Xi & Xj is:

 sum ( Xi.Xj ) / Sqrt ( sum (Xi^2) . sum (Xj^2) )

On return, array CORMAT contains the upper triangle of the matrix of partial correlations stored by rows, excluding the 1's on the diagonal. e.g. if IN = 2, the consecutive elements returned are: (3,4) (3,5) ... (3,ncol), (4,5) (4,6) ... (4,ncol), etc. Array YCORR stores the partial correlations with the Y-variable starting with YCORR(IN+1) = partial correlation with the variable in position (IN+1).

Parameters:

in - how many of the regressors to include (either in canonical order, or in the current reordered state)

Returns:

an array with the partial correlations of the remainder of regressors with each other and the regressand, in lower triangular form

getDiagonalOfHatMatrix

public double getDiagonalOfHatMatrix(double[] row_data)

Gets the diagonal of the Hat matrix also known as the leverage matrix.

Parameters:

row_data - returns the diagonal of the hat matrix for this observation

Returns:

the diagonal element of the hatmatrix

getOrderOfRegressors

public int[] getOrderOfRegressors()

Gets the order of the regressors, useful if some type of reordering has been called. Calling regress with int[]{} args will trigger a reordering.

Returns:

int[] with the current order of the regressors

regress

public RegressionResults regress()
                          throws ModelSpecificationException

Conducts a regression on the data in the model, using all regressors.

Specified by:

regress in interface UpdatingMultipleLinearRegression

Returns:

RegressionResults the structure holding all regression results

Throws:

ModelSpecificationException - - thrown if number of observations is less than the number of variables

regress

public RegressionResults regress(int numberOfRegressors)
                          throws ModelSpecificationException

Conducts a regression on the data in the model, using a subset of regressors.

Parameters:

numberOfRegressors - many of the regressors to include (either in canonical order, or in the current reordered state)

Returns:

RegressionResults the structure holding all regression results

Throws:

ModelSpecificationException - - thrown if number of observations is less than the number of variables or number of regressors requested is greater than the regressors in the model

regress

public RegressionResults regress(int[] variablesToInclude)
                          throws ModelSpecificationException

Conducts a regression on the data in the model, using regressors in array Calling this method will change the internal order of the regressors and care is required in interpreting the hatmatrix.

Specified by:

regress in interface UpdatingMultipleLinearRegression

Parameters:

variablesToInclude - array of variables to include in regression

Returns:

RegressionResults the structure holding all regression results

Throws:

ModelSpecificationException - - thrown if number of observations is less than the number of variables, the number of regressors requested is greater than the regressors in the model or a regressor index in regressor array does not exist