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Diffstat (limited to 'src/main/java/org/apache/commons/math3/stat/regression/MultipleLinearRegression.java')
-rw-r--r-- | src/main/java/org/apache/commons/math3/stat/regression/MultipleLinearRegression.java | 69 |
1 files changed, 69 insertions, 0 deletions
diff --git a/src/main/java/org/apache/commons/math3/stat/regression/MultipleLinearRegression.java b/src/main/java/org/apache/commons/math3/stat/regression/MultipleLinearRegression.java new file mode 100644 index 0000000..866214f --- /dev/null +++ b/src/main/java/org/apache/commons/math3/stat/regression/MultipleLinearRegression.java @@ -0,0 +1,69 @@ +/* + * 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; + +/** + * The multiple linear regression can be represented in matrix-notation. + * <pre> + * y=X*b+u + * </pre> + * where y is an <code>n-vector</code> <b>regressand</b>, X is a <code>[n,k]</code> matrix whose <code>k</code> columns are called + * <b>regressors</b>, b is <code>k-vector</code> of <b>regression parameters</b> and <code>u</code> is an <code>n-vector</code> + * of <b>error terms</b> or <b>residuals</b>. + * + * The notation is quite standard in literature, + * cf eg <a href="http://www.econ.queensu.ca/ETM">Davidson and MacKinnon, Econometrics Theory and Methods, 2004</a>. + * @since 2.0 + */ +public interface MultipleLinearRegression { + + /** + * Estimates the regression parameters b. + * + * @return The [k,1] array representing b + */ + double[] estimateRegressionParameters(); + + /** + * Estimates the variance of the regression parameters, ie Var(b). + * + * @return The [k,k] array representing the variance of b + */ + double[][] estimateRegressionParametersVariance(); + + /** + * Estimates the residuals, ie u = y - X*b. + * + * @return The [n,1] array representing the residuals + */ + double[] estimateResiduals(); + + /** + * Returns the variance of the regressand, ie Var(y). + * + * @return The double representing the variance of y + */ + double estimateRegressandVariance(); + + /** + * Returns the standard errors of the regression parameters. + * + * @return standard errors of estimated regression parameters + */ + double[] estimateRegressionParametersStandardErrors(); + +} |