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https://issues.apache.org/jira/browse/MATH-377?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12880848#action_12880848
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Dimitri Pourbaix commented on MATH-377:
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Indeed, the confusion comes from the fact that, in some textbooks, each
residual is divided by 'sigma_i' which leads to a weight of 1/(sigma_i^2). In
CM, we adopted the terminology 'weight' without reference to sigma. I will
change the javadoc accordingly.
> weight versus sigma in AbstractLeastSquares
> -------------------------------------------
>
> Key: MATH-377
> URL: https://issues.apache.org/jira/browse/MATH-377
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Dimitri Pourbaix
> Fix For: 2.2
>
> Original Estimate: 0.02h
> Remaining Estimate: 0.02h
>
> In AbstractLeastSquares, residualsWeights contains the WEIGHTS assigned to
> each observation. In the method getRMS(), these weights are multiplicative
> as they should. unlike in getChiSquare() where it appears at the denominator!
> If the weight is really the weight of the observation, it should multiply
> the square of the residual even in the computation of the chi2.
> Once corrected, getRMS() can even reduce
> public double getRMS() {return Math.sqrt(getChiSquare()/rows);}
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