On 9/9/11 9:18 PM, gr...@apache.org wrote: > Author: gregs > Date: Sat Sep 10 04:18:31 2011 > New Revision: 1167451 > > URL: http://svn.apache.org/viewvc?rev=1167451&view=rev > Log: > (MATH-649) SimpleRegression needs the ability to suppress the intercept
The plugin was able to pick this up and attach it to the ticket, but we usually use the format JIRA: MATH-649 Also, remember to update changes.xml. We usually try to do this in the same commit, but we all forget sometimes ;) Thanks for taking care of this. See one nit below. > > > This commit pushes changes to allow the estimation of the a regression in > which the intercept is constrained to be zero. I am also pushing two unit > tests. > > Modified: > > commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/SimpleRegression.java > > commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/SimpleRegressionTest.java > > Modified: > commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/SimpleRegression.java > URL: > http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/SimpleRegression.java?rev=1167451&r1=1167450&r2=1167451&view=diff > ============================================================================== > --- > commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/SimpleRegression.java > (original) > +++ > commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/SimpleRegression.java > Sat Sep 10 04:18:31 2011 > @@ -84,13 +84,23 @@ public class SimpleRegression implements > /** mean of accumulated y values, used in updating formulas */ > private double ybar = 0; > > + /** include an intercept or not */ > + private final boolean hasIntercept; > // ---------------------Public > methods-------------------------------------- > > /** > * Create an empty SimpleRegression instance > */ > public SimpleRegression() { > + this(true); > + } > + /** > + * Secondary constructor which allows the user the ability to > include/exclude const > + * @param includeIntercept boolean flag, true includes an intercept > + */ > + public SimpleRegression(boolean includeIntercept){ > super(); > + hasIntercept = includeIntercept; > } > > /** > @@ -106,22 +116,32 @@ public class SimpleRegression implements > * @param x independent variable value > * @param y dependent variable value > */ > - public void addData(double x, double y) { > + public void addData(final double x, final double y){ > if (n == 0) { > xbar = x; > ybar = y; > } else { > - double dx = x - xbar; > - double dy = y - ybar; > - sumXX += dx * dx * (double) n / (n + 1d); > - sumYY += dy * dy * (double) n / (n + 1d); > - sumXY += dx * dy * (double) n / (n + 1d); > - xbar += dx / (n + 1.0); > - ybar += dy / (n + 1.0); > + if( hasIntercept ){ We usually don't add the extra spaces around arguments, but do add a space before the { > + final double fact1 = 1.0 + (double) n; > + final double fact2 = ((double) n) / (1.0 + (double) n); > + final double dx = x - xbar; > + final double dy = y - ybar; > + sumXX += dx * dx * fact2; > + sumYY += dy * dy * fact2; > + sumXY += dx * dy * fact2; > + xbar += dx / fact1; > + ybar += dy / fact1; > + } > + } > + if( !hasIntercept ){ > + sumXX += x * x ; > + sumYY += y * y ; > + sumXY += x * y ; > } > sumX += x; > sumY += y; > n++; > + return; > } > > > @@ -140,17 +160,29 @@ public class SimpleRegression implements > */ > public void removeData(double x, double y) { > if (n > 0) { > - double dx = x - xbar; > - double dy = y - ybar; > - sumXX -= dx * dx * (double) n / (n - 1d); > - sumYY -= dy * dy * (double) n / (n - 1d); > - sumXY -= dx * dy * (double) n / (n - 1d); > - xbar -= dx / (n - 1.0); > - ybar -= dy / (n - 1.0); > - sumX -= x; > - sumY -= y; > - n--; > + if (hasIntercept) { > + final double fact1 = (double) n - 1.0; > + final double fact2 = ((double) n) / ((double) n - 1.0); > + final double dx = x - xbar; > + final double dy = y - ybar; > + sumXX -= dx * dx * fact2; > + sumYY -= dy * dy * fact2; > + sumXY -= dx * dy * fact2; > + xbar -= dx / fact1; > + ybar -= dy / fact1; > + } else { > + final double fact1 = (double) n - 1.0; > + sumXX -= x * x; > + sumYY -= y * y; > + sumXY -= x * y; > + xbar -= x / fact1; > + ybar -= y / fact1; > + } > + sumX -= x; > + sumY -= y; > + n--; > } > + return; > } > > /** > @@ -235,7 +267,10 @@ public class SimpleRegression implements > */ > public double predict(double x) { > double b1 = getSlope(); > - return getIntercept(b1) + b1 * x; > + if (hasIntercept) { > + return getIntercept(b1) + b1 * x; > + } > + return b1 * x; > } > > /** > @@ -255,7 +290,16 @@ public class SimpleRegression implements > * @return the intercept of the regression line > */ > public double getIntercept() { > - return getIntercept(getSlope()); > + return hasIntercept ? getIntercept(getSlope()) : 0.0; > + } > + > + /** > + * Returns true if a constant has been included false otherwise. > + * > + * @return true if constant exists, false otherwise > + */ > + public boolean hasIntercept(){ > + return hasIntercept; > } > > /** > @@ -391,7 +435,7 @@ public class SimpleRegression implements > if (n < 3) { > return Double.NaN; > } > - return getSumSquaredErrors() / (n - 2); > + return hasIntercept ? (getSumSquaredErrors() / (n - 2)) : > (getSumSquaredErrors() / (n - 1)); > } > > /** > @@ -443,11 +487,15 @@ public class SimpleRegression implements > * <p> > * If there are fewer that <strong>three</strong> observations in the > * model, or if there is no variation in x, this returns > - * <code>Double.NaN</code>.</p> > + * <code>Double.NaN</code>.</p> Additionally, a <code>Double.NaN</code> > is > + * returned when the intercept is constrained to be zero > * > * @return standard error associated with intercept estimate > */ > public double getInterceptStdErr() { > + if( !hasIntercept ){ > + return Double.NaN; > + } > return FastMath.sqrt( > getMeanSquareError() * ((1d / (double) n) + (xbar * xbar) / > sumXX)); > } > @@ -572,8 +620,11 @@ public class SimpleRegression implements > * @param slope current slope > * @return the intercept of the regression line > */ > - private double getIntercept(double slope) { > + private double getIntercept(double slope){ > + if( hasIntercept){ > return (sumY - slope * sumX) / n; > + } > + return 0.0; > } > > /** > > Modified: > commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/SimpleRegressionTest.java > URL: > http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/SimpleRegressionTest.java?rev=1167451&r1=1167450&r2=1167451&view=diff > ============================================================================== > --- > commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/SimpleRegressionTest.java > (original) > +++ > commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/SimpleRegressionTest.java > Sat Sep 10 04:18:31 2011 > @@ -80,6 +80,76 @@ public final class SimpleRegressionTest > {5, -1 }, {6, 12 } > }; Tests with reference data. Nice! :) > > + > + /* > + * Data from NIST NOINT1 > + */ > + private double[][] noint1 = { > + {130.0,60.0}, > + {131.0,61.0}, > + {132.0,62.0}, > + {133.0,63.0}, > + {134.0,64.0}, > + {135.0,65.0}, > + {136.0,66.0}, > + {137.0,67.0}, > + {138.0,68.0}, > + {139.0,69.0}, > + {140.0,70.0} > + }; > + > + /* > + * Data from NIST NOINT2 > + * > + */ > + private double[][] noint2 = { > + {3.0,4}, > + {4,5}, > + {4,6} > + }; > + > + @Test > + public void testNoInterceot_noint2(){ > + SimpleRegression regression = new SimpleRegression(false); > + regression.addData(noint2[0][1], noint2[0][0]); > + regression.addData(noint2[1][1], noint2[1][0]); > + regression.addData(noint2[2][1], noint2[2][0]); > + Assert.assertEquals("slope", 0.727272727272727, > + regression.getSlope(), 10E-12); > + Assert.assertEquals("slope std err", 0.420827318078432E-01, > + regression.getSlopeStdErr(),10E-12); > + Assert.assertEquals("number of observations", 3, regression.getN()); > + Assert.assertEquals("r-square", 0.993348115299335, > + regression.getRSquare(), 10E-12); > + Assert.assertEquals("SSR", 40.7272727272727, > + regression.getRegressionSumSquares(), 10E-9); > + Assert.assertEquals("MSE", 0.136363636363636, > + regression.getMeanSquareError(), 10E-10); > + Assert.assertEquals("SSE", 0.272727272727273, > + regression.getSumSquaredErrors(),10E-9); > + } > + > + @Test > + public void testNoIntercept_noint1(){ > + SimpleRegression regression = new SimpleRegression(false); > + for (int i = 0; i < noint1.length; i++) { > + regression.addData(noint1[i][1], noint1[i][0]); > + } > + Assert.assertEquals("slope", 2.07438016528926, > regression.getSlope(), 10E-12); > + Assert.assertEquals("slope std err", 0.165289256198347E-01, > + regression.getSlopeStdErr(),10E-12); > + Assert.assertEquals("number of observations", 11, regression.getN()); > + Assert.assertEquals("r-square", 0.999365492298663, > + regression.getRSquare(), 10E-12); > + Assert.assertEquals("SSR", 200457.727272727, > + regression.getRegressionSumSquares(), 10E-9); > + Assert.assertEquals("MSE", 12.7272727272727, > + regression.getMeanSquareError(), 10E-10); > + Assert.assertEquals("SSE", 127.272727272727, > + regression.getSumSquaredErrors(),10E-9); > + > + } > + > @Test > public void testNorris() { > SimpleRegression regression = new SimpleRegression(); > > > --------------------------------------------------------------------- To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org For additional commands, e-mail: dev-h...@commons.apache.org
