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https://issues.apache.org/jira/browse/MATH-857?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Marios Michaelidis updated MATH-857:
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Attachment: VIF_Tolerance.txt
Here is the VIF and Tolerance class in a txt file. It is tested with the CM and
compared with other major statistical packages. I propose to be in the same
package with the correlations as this is what it checks, "Multi-colinearity".
Tell me if this is required in a different format.
Regards
> Include a VIF and TOLERANCE check for a 2 dimensional double array, 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
> Environment: can apply to all operating systems
> Reporter: Marios Michaelidis
> Priority: Minor
> Labels: build, test
> Fix For: 3.1
>
> Attachments: VIF_Tolerance.txt
>
> Original Estimate: 48h
> Remaining Estimate: 48h
>
> 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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