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Change-Id: I52a325624a7f0dd652b362a9840626d6d9f3c42b

1 files changed, 136 insertions, 0 deletions

diff --git a/src/main/java/org/apache/commons/math/stat/regression/GLSMultipleLinearRegression.java b/src/main/java/org/apache/commons/math/stat/regression/GLSMultipleLinearRegression.java
new file mode 100644
index 0000000..dc6ef0d
--- /dev/null
+++ b/src/main/java/org/apache/commons/math/stat/regression/GLSMultipleLinearRegression.java
@@ -0,0 +1,136 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *      http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.math.stat.regression;
+
+import org.apache.commons.math.linear.LUDecompositionImpl;
+import org.apache.commons.math.linear.RealMatrix;
+import org.apache.commons.math.linear.Array2DRowRealMatrix;
+import org.apache.commons.math.linear.RealVector;
+
+/**
+ * The GLS implementation of the multiple linear regression.
+ *
+ * GLS assumes a general covariance matrix Omega of the error
+ * <pre>
+ * u ~ N(0, Omega)
+ * </pre>
+ *
+ * Estimated by GLS,
+ * <pre>
+ * b=(X' Omega^-1 X)^-1X'Omega^-1 y
+ * </pre>
+ * whose variance is
+ * <pre>
+ * Var(b)=(X' Omega^-1 X)^-1
+ * </pre>
+ * @version $Revision: 1073460 $ $Date: 2011-02-22 20:22:39 +0100 (mar. 22 févr. 2011) $
+ * @since 2.0
+ */
+public class GLSMultipleLinearRegression extends AbstractMultipleLinearRegression {
+
+    /** Covariance matrix. */
+    private RealMatrix Omega;
+
+    /** Inverse of covariance matrix. */
+    private RealMatrix OmegaInverse;
+
+    /** Replace sample data, overriding any previous sample.
+     * @param y y values of the sample
+     * @param x x values of the sample
+     * @param covariance array representing the covariance matrix
+     */
+    public void newSampleData(double[] y, double[][] x, double[][] covariance) {
+        validateSampleData(x, y);
+        newYSampleData(y);
+        newXSampleData(x);
+        validateCovarianceData(x, covariance);
+        newCovarianceData(covariance);
+    }
+
+    /**
+     * Add the covariance data.
+     *
+     * @param omega the [n,n] array representing the covariance
+     */
+    protected void newCovarianceData(double[][] omega){
+        this.Omega = new Array2DRowRealMatrix(omega);
+        this.OmegaInverse = null;
+    }
+
+    /**
+     * Get the inverse of the covariance.
+     * <p>The inverse of the covariance matrix is lazily evaluated and cached.</p>
+     * @return inverse of the covariance
+     */
+    protected RealMatrix getOmegaInverse() {
+        if (OmegaInverse == null) {
+            OmegaInverse = new LUDecompositionImpl(Omega).getSolver().getInverse();
+        }
+        return OmegaInverse;
+    }
+
+    /**
+     * Calculates beta by GLS.
+     * <pre>
+     *  b=(X' Omega^-1 X)^-1X'Omega^-1 y
+     * </pre>
+     * @return beta
+     */
+    @Override
+    protected RealVector calculateBeta() {
+        RealMatrix OI = getOmegaInverse();
+        RealMatrix XT = X.transpose();
+        RealMatrix XTOIX = XT.multiply(OI).multiply(X);
+        RealMatrix inverse = new LUDecompositionImpl(XTOIX).getSolver().getInverse();
+        return inverse.multiply(XT).multiply(OI).operate(Y);
+    }
+
+    /**
+     * Calculates the variance on the beta.
+     * <pre>
+     *  Var(b)=(X' Omega^-1 X)^-1
+     * </pre>
+     * @return The beta variance matrix
+     */
+    @Override
+    protected RealMatrix calculateBetaVariance() {
+        RealMatrix OI = getOmegaInverse();
+        RealMatrix XTOIX = X.transpose().multiply(OI).multiply(X);
+        return new LUDecompositionImpl(XTOIX).getSolver().getInverse();
+    }
+
+
+    /**
+     * Calculates the estimated variance of the error term using the formula
+     * <pre>
+     *  Var(u) = Tr(u' Omega^-1 u)/(n-k)
+     * </pre>
+     * where n and k are the row and column dimensions of the design
+     * matrix X.
+     *
+     * @return error variance
+     * @since 2.2
+     */
+    @Override
+    protected double calculateErrorVariance() {
+        RealVector residuals = calculateResiduals();
+        double t = residuals.dotProduct(getOmegaInverse().operate(residuals));
+        return t / (X.getRowDimension() - X.getColumnDimension());
+
+    }
+
+}