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https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Mark Devaney updated MATH-392:
------------------------------
Attachment: patch
corrected implementations of calculateYVariance() for OLS/GLSMultipleRegression
added unit tests for both calculateYVariance implementations
fixed AbstractMultipleRegression.estimateRegressionParametersStandardErrors()
to use residuals
> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y
> vars
> -------------------------------------------------------------------------------
>
> Key: MATH-392
> URL: https://issues.apache.org/jira/browse/MATH-392
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Mark Devaney
> Priority: Minor
> Fix For: 2.2
>
> Attachments: patch
>
>
> Implementation of OLS/GLSMultipleLinearRegression is:
> @Override
> 173 protected double calculateYVariance() {
> 174 RealVector residuals = calculateResiduals();
> 175 return residuals.dotProduct(residuals) /
> 176 (X.getRowDimension() - X.getColumnDimension());
> 177 }
> This gives variance of residuals not variance of the dependent (Y) variable
> as the documentation suggests.
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