Marios Michaelidis created MATH-857:
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Summary: I would like to include a VIF and TOLERANCE check for a 2
dimensional double array, vey commonly used by major packages to determine
variables that cause multi-colinearity issues and should be excluded from the
models
Key: MATH-857
URL: https://issues.apache.org/jira/browse/MATH-857
Project: Commons Math
Issue Type: New Feature
Affects Versions: 3.0, 3.1
Environment: can apply to all operating systems
Reporter: Marios Michaelidis
Fix For: 3.1, 3.0
Multicollinearity is a statistical phenomenon in which two or more predictor
variables in any multiple regression model are highly correlated. Tolerance and
VIF are checks that allows to avoid optimization failes due to "inability to
converge". Most of the times, the major packages (SAS, SPSS etc), have a check
prior to running the model and they exclude variables that might cause these
kind of problems. It is quite a useful tool to be in common maths.
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