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Diffstat (limited to 'src/main/java/org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.java')
-rw-r--r-- | src/main/java/org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.java | 135 |
1 files changed, 135 insertions, 0 deletions
diff --git a/src/main/java/org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.java b/src/main/java/org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.java new file mode 100644 index 0000000..1644e6d --- /dev/null +++ b/src/main/java/org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.java @@ -0,0 +1,135 @@ +/* + * 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.math3.stat.regression; + +import org.apache.commons.math3.linear.LUDecomposition; +import org.apache.commons.math3.linear.RealMatrix; +import org.apache.commons.math3.linear.Array2DRowRealMatrix; +import org.apache.commons.math3.linear.RealVector; + +/** + * The GLS implementation of 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> + * @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 LUDecomposition(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 = getX().transpose(); + RealMatrix XTOIX = XT.multiply(OI).multiply(getX()); + RealMatrix inverse = new LUDecomposition(XTOIX).getSolver().getInverse(); + return inverse.multiply(XT).multiply(OI).operate(getY()); + } + + /** + * 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 = getX().transpose().multiply(OI).multiply(getX()); + return new LUDecomposition(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 / (getX().getRowDimension() - getX().getColumnDimension()); + + } + +} |