Author: luc
Date: Tue Aug 19 04:18:10 2008
New Revision: 687021
URL: http://svn.apache.org/viewvc?rev=687021&view=rev
Log:
added removeData methods to the SimpleRegression class.
This allows to support regression calculations across a
sliding window of (time-based) observations without having
to recalculate for the entire window every time.
JIRA: MATH-219
Modified:
commons/proper/math/branches/MATH_2_0/src/java/org/apache/commons/math/stat/regression/SimpleRegression.java
commons/proper/math/branches/MATH_2_0/src/site/xdoc/changes.xml
commons/proper/math/branches/MATH_2_0/src/test/org/apache/commons/math/stat/regression/SimpleRegressionTest.java
Modified:
commons/proper/math/branches/MATH_2_0/src/java/org/apache/commons/math/stat/regression/SimpleRegression.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_0/src/java/org/apache/commons/math/stat/regression/SimpleRegression.java?rev=687021&r1=687020&r2=687021&view=diff
==============================================================================
---
commons/proper/math/branches/MATH_2_0/src/java/org/apache/commons/math/stat/regression/SimpleRegression.java
(original)
+++
commons/proper/math/branches/MATH_2_0/src/java/org/apache/commons/math/stat/regression/SimpleRegression.java
Tue Aug 19 04:18:10 2008
@@ -139,6 +139,39 @@
}
}
+
+ /**
+ * Removes the observation (x,y) from the regression data set.
+ * <p>
+ * Mirrors the addData method. This method permits the use of
+ * SimpleRegression instances in streaming mode where the regression
+ * is applied to a sliding "window" of observations, however the caller is
+ * responsible for maintaining the set of observations in the window.</p>
+ *
+ * The method has no effect if there are no points of data (i.e. n=0)
+ *
+ * @param x independent variable value
+ * @param y dependent variable value
+ */
+ public void removeData(double x, double y) {
+ if (n > 0) {
+ double dx = x - xbar;
+ double dy = y - ybar;
+ sumXX -= dx * dx * (double) n / (double) (n - 1.0);
+ sumYY -= dy * dy * (double) n / (double) (n - 1.0);
+ sumXY -= dx * dy * (double) n / (double) (n - 1.0);
+ xbar -= dx / (double) (n - 1.0);
+ ybar -= dy / (double) (n - 1.0);
+ sumX -= x;
+ sumY -= y;
+ n--;
+
+ if (n > 2) {
+ distribution.setDegreesOfFreedom(n - 2);
+ }
+ }
+ }
+
/**
* Adds the observations represented by the elements in
* <code>data</code>.
@@ -161,6 +194,26 @@
}
}
+
+ /**
+ * Removes observations represented by the elements in <code>data</code>.
+ * <p>
+ * If the array is larger than the current n, only the first n elements
are
+ * processed. This method permits the use of SimpleRegression instances
in
+ * streaming mode where the regression is applied to a sliding "window" of
+ * observations, however the caller is responsible for maintaining the set
+ * of observations in the window.</p>
+ * <p>
+ * To remove all data, use <code>clear()</code>.</p>
+ *
+ * @param data array of observations to be removed
+ */
+ public void removeData(double[][] data) {
+ for (int i = 0; i < data.length && n > 0; i++) {
+ removeData(data[i][0], data[i][1]);
+ }
+ }
+
/**
* Clears all data from the model.
*/
Modified: commons/proper/math/branches/MATH_2_0/src/site/xdoc/changes.xml
URL:
http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_0/src/site/xdoc/changes.xml?rev=687021&r1=687020&r2=687021&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_0/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/branches/MATH_2_0/src/site/xdoc/changes.xml Tue Aug 19
04:18:10 2008
@@ -39,6 +39,11 @@
</properties>
<body>
<release version="2.0" date="TBD" description="TBD">
+ <action dev="luc" type="add" issue="MATH-219" due-to="Andrew Berry">
+ Added removeData methods for the SimpleRegression class. This allows
+ to support regression calculations across a sliding window of
(time-based)
+ observations without having to recalculate for the entire window every
time.
+ </action>
<action dev="luc" type="add" due-to="Andreas Rieger">
Support for one dimensional vectors has been added to the linear
algebra
package with a RealVector interface, a RealVectorImpl default
implementation
Modified:
commons/proper/math/branches/MATH_2_0/src/test/org/apache/commons/math/stat/regression/SimpleRegressionTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_0/src/test/org/apache/commons/math/stat/regression/SimpleRegressionTest.java?rev=687021&r1=687020&r2=687021&view=diff
==============================================================================
---
commons/proper/math/branches/MATH_2_0/src/test/org/apache/commons/math/stat/regression/SimpleRegressionTest.java
(original)
+++
commons/proper/math/branches/MATH_2_0/src/test/org/apache/commons/math/stat/regression/SimpleRegressionTest.java
Tue Aug 19 04:18:10 2008
@@ -63,6 +63,15 @@
};
/*
+ * Points to remove in the remove tests
+ */
+ private double[][] removeSingle = {infData[1]};
+ private double[][] removeMultiple = { infData[1], infData[2] };
+ private double removeX = infData[0][0];
+ private double removeY = infData[0][1];
+
+
+ /*
* Data with bad linear fit
*/
private double[][] infData2 = { { 1, 1 }, {2, 0 }, {3, 5 }, {4, 2 },
@@ -275,4 +284,90 @@
}
assertTrue(reg.getSumSquaredErrors() >= 0.0);
}
+
+ // Test remove X,Y (single observation)
+ public void testRemoveXY() throws Exception {
+ // Create regression with inference data then remove to test
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(infData);
+ regression.removeData(removeX, removeY);
+ regression.addData(removeX, removeY);
+ // Use the inference assertions to make sure that everything worked
+ assertEquals("slope std err", 0.011448491,
+ regression.getSlopeStdErr(), 1E-10);
+ assertEquals("std err intercept", 0.286036932,
+ regression.getInterceptStdErr(),1E-8);
+ assertEquals("significance", 4.596e-07,
+ regression.getSignificance(),1E-8);
+ assertEquals("slope conf interval half-width", 0.0270713794287,
+ regression.getSlopeConfidenceInterval(),1E-8);
+ }
+
+
+ // Test remove single observation in array
+ public void testRemoveSingle() throws Exception {
+ // Create regression with inference data then remove to test
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(infData);
+ regression.removeData(removeSingle);
+ regression.addData(removeSingle);
+ // Use the inference assertions to make sure that everything worked
+ assertEquals("slope std err", 0.011448491,
+ regression.getSlopeStdErr(), 1E-10);
+ assertEquals("std err intercept", 0.286036932,
+ regression.getInterceptStdErr(),1E-8);
+ assertEquals("significance", 4.596e-07,
+ regression.getSignificance(),1E-8);
+ assertEquals("slope conf interval half-width", 0.0270713794287,
+ regression.getSlopeConfidenceInterval(),1E-8);
+ }
+
+ // Test remove multiple observations
+ public void testRemoveMultiple() throws Exception {
+ // Create regression with inference data then remove to test
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(infData);
+ regression.removeData(removeMultiple);
+ regression.addData(removeMultiple);
+ // Use the inference assertions to make sure that everything worked
+ assertEquals("slope std err", 0.011448491,
+ regression.getSlopeStdErr(), 1E-10);
+ assertEquals("std err intercept", 0.286036932,
+ regression.getInterceptStdErr(),1E-8);
+ assertEquals("significance", 4.596e-07,
+ regression.getSignificance(),1E-8);
+ assertEquals("slope conf interval half-width", 0.0270713794287,
+ regression.getSlopeConfidenceInterval(),1E-8);
+ }
+
+ // Remove observation when empty
+ public void testRemoveObsFromEmpty() {
+ SimpleRegression regression = new SimpleRegression();
+ regression.removeData(removeX, removeY);
+ assertEquals(regression.getN(), 0);
+ }
+
+ // Remove single observation to empty
+ public void testRemoveObsFromSingle() {
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(removeX, removeY);
+ regression.removeData(removeX, removeY);
+ assertEquals(regression.getN(), 0);
+ }
+
+ // Remove multiple observations to empty
+ public void testRemoveMultipleToEmpty() {
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(removeMultiple);
+ regression.removeData(removeMultiple);
+ assertEquals(regression.getN(), 0);
+ }
+
+ // Remove multiple observations past empty (i.e. size of array > n)
+ public void testRemoveMultiplePastEmpty() {
+ SimpleRegression regression = new SimpleRegression();
+ regression.addData(removeX, removeY);
+ regression.removeData(removeMultiple);
+ assertEquals(regression.getN(), 0);
+ }
}
