I think it might be wise to use the JAMA implementation for this, they
are completly free of copyright and related stuff and they are easy
implemented (as I have done) in commons.math
Kim
Tzvika Barenholz wrote:
The formulas that you cite look correct mathematically, but
unfortunately not the best numerically. The reference in the post above
describes a better computational approach. Patches to support QR
decomposition of real matrices so we can implement that algorithm or
other numerically sound multiple regression approaches would be appreciated.
Phil
not to sound too dumb, but does anyone have a good reference on what
this QR decomposition actually is? I'd love to look at it.
By the way, i've written some tests for my own RealMatrix-based
implementation of multiple linear regression, and the numerics aren't
too bad at all as far as i could tell (first differences appearing
around the 12th digit after the decimal point or so). that is, without
a more comprehensive test. Do you guys maybe have a requirement for
how accurate an algorithm must be to be acceptable?
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