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From pste...@apache.org
Subject svn commit: r996404 - in /commons/proper/math: branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/ branches/MATH_2_X/src/site/xdoc/ branches/MATH_2_X/src/test/R/ branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regressi...
Date Mon, 13 Sep 2010 02:01:43 GMT
Author: psteitz
Date: Mon Sep 13 02:01:42 2010
New Revision: 996404

URL: http://svn.apache.org/viewvc?rev=996404&view=rev
Log:
Made intercept/noIntercept configurable in multiple regression classes.  JIRA: MATH-409.

Modified:
    commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
    commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
    commons/proper/math/branches/MATH_2_X/src/site/xdoc/changes.xml
    commons/proper/math/branches/MATH_2_X/src/test/R/multipleOLSRegressionTestCases
    commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java
    commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
    commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
    commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
    commons/proper/math/trunk/src/site/xdoc/changes.xml
    commons/proper/math/trunk/src/test/R/multipleOLSRegressionTestCases
    commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java
    commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java

Modified: commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java (original)
+++ commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java Mon Sep 13 02:01:42 2010
@@ -39,6 +39,23 @@ public abstract class AbstractMultipleLi
     /** Y sample data. */
     protected RealVector Y;
 
+    /** Whether or not the regression model includes an intercept.  True means no intercept. */
+    private boolean noIntercept = false;
+
+    /**
+     * @return true if the model has no intercept term; false otherwise
+     */
+    public boolean isNoIntercept() {
+        return noIntercept;
+    }
+
+    /**
+     * @param noIntercept true means the model is to be estimated without an intercept term
+     */
+    public void setNoIntercept(boolean noIntercept) {
+        this.noIntercept = noIntercept;
+    }
+
     /**
      * <p>Loads model x and y sample data from a flat input array, overriding any previous sample.
      * </p>
@@ -55,7 +72,9 @@ public abstract class AbstractMultipleLi
      * </pre>
      * </p>
      * <p>Note that there is no need to add an initial unitary column (column of 1's) when
-     * specifying a model including an intercept term.
+     * specifying a model including an intercept term.  If {@link #isNoIntercept()} is <code>true</code>,
+     * the X matrix will be created without an initial column of "1"s; otherwise this column will
+     * be added.
      * </p>
      * <p>Throws IllegalArgumentException if any of the following preconditions fail:
      * <ul><li><code>data</code> cannot be null</li>
@@ -82,12 +101,15 @@ public abstract class AbstractMultipleLi
                     LocalizedFormats.NOT_ENOUGH_DATA_FOR_NUMBER_OF_PREDICTORS);
         }
         double[] y = new double[nobs];
-        double[][] x = new double[nobs][nvars + 1];
+        final int cols = noIntercept ? nvars: nvars + 1;
+        double[][] x = new double[nobs][cols];
         int pointer = 0;
         for (int i = 0; i < nobs; i++) {
             y[i] = data[pointer++];
-            x[i][0] = 1.0d;
-            for (int j = 1; j < nvars + 1; j++) {
+            if (!noIntercept) {
+                x[i][0] = 1.0d;
+            }
+            for (int j = noIntercept ? 0 : 1; j < cols; j++) {
                 x[i][j] = data[pointer++];
             }
         }
@@ -145,18 +167,22 @@ public abstract class AbstractMultipleLi
             throw MathRuntimeException.createIllegalArgumentException(
                     LocalizedFormats.NO_DATA);
         }
-        final int nVars = x[0].length;
-        final double[][] xAug = new double[x.length][nVars + 1];
-        for (int i = 0; i < x.length; i++) {
-            if (x[i].length != nVars) {
-                throw MathRuntimeException.createIllegalArgumentException(
-                        LocalizedFormats.DIFFERENT_ROWS_LENGTHS,
-                        x[i].length, nVars);
+        if (noIntercept) {
+            this.X = new Array2DRowRealMatrix(x, true);
+        } else { // Augment design matrix with initial unitary column
+            final int nVars = x[0].length;
+            final double[][] xAug = new double[x.length][nVars + 1];
+            for (int i = 0; i < x.length; i++) {
+                if (x[i].length != nVars) {
+                    throw MathRuntimeException.createIllegalArgumentException(
+                            LocalizedFormats.DIFFERENT_ROWS_LENGTHS,
+                            x[i].length, nVars);
+                }
+                xAug[i][0] = 1.0d;
+                System.arraycopy(x[i], 0, xAug[i], 1, nVars);
             }
-            xAug[i][0] = 1.0d;
-            System.arraycopy(x[i], 0, xAug[i], 1, nVars);
+            this.X = new Array2DRowRealMatrix(xAug, false);
         }
-        this.X = new Array2DRowRealMatrix(xAug, false);
     }
 
     /**

Modified: commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java (original)
+++ commons/proper/math/branches/MATH_2_X/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java Mon Sep 13 02:01:42 2010
@@ -22,35 +22,32 @@ import org.apache.commons.math.linear.QR
 import org.apache.commons.math.linear.QRDecompositionImpl;
 import org.apache.commons.math.linear.RealMatrix;
 import org.apache.commons.math.linear.RealVector;
+import org.apache.commons.math.stat.StatUtils;
 import org.apache.commons.math.stat.descriptive.moment.SecondMoment;
 
 /**
  * <p>Implements ordinary least squares (OLS) to estimate the parameters of a
  * multiple linear regression model.</p>
  *
- * <p>OLS assumes the covariance matrix of the error to be diagonal and with
- * equal variance.</p>
- * <p>
- * u ~ N(0, &sigma;<sup>2</sup>I)
- * </p>
- *
- * <p>The regression coefficients, b, satisfy the normal equations:
- * <p>
- * X<sup>T</sup> X b = X<sup>T</sup> y
- * </p>
+ * <p>The regression coefficients, <code>b</code>, satisfy the normal equations:
+ * <pre><code> X<sup>T</sup> X b = X<sup>T</sup> y </code></pre></p>
  *
  * <p>To solve the normal equations, this implementation uses QR decomposition
- * of the X matrix. (See {@link QRDecompositionImpl} for details on the
- * decomposition algorithm.)
- * </p>
- * <p>X<sup>T</sup>X b = X<sup>T</sup> y <br/>
- * (QR)<sup>T</sup> (QR) b = (QR)<sup>T</sup>y <br/>
- * R<sup>T</sup> (Q<sup>T</sup>Q) R b = R<sup>T</sup> Q<sup>T</sup> y <br/>
- * R<sup>T</sup> R b = R<sup>T</sup> Q<sup>T</sup> y <br/>
- * (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> R b = (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> Q<sup>T</sup> y <br/>
- * R b = Q<sup>T</sup> y
- * </p>
- * Given Q and R, the last equation is solved by back-substitution.</p>
+ * of the <code>X</code> matrix. (See {@link QRDecompositionImpl} for details on the
+ * decomposition algorithm.) The <code>X</code> matrix, also known as the <i>design matrix,</i>
+ * has rows corresponding to sample observations and columns corresponding to independent
+ * variables.  When the model is estimated using an intercept term (i.e. when
+ * {@link #isNoIntercept() isNoIntercept} is false as it is by default), the <code>X</code>
+ * matrix includes an initial column identically equal to 1.  We solve the normal equations
+ * as follows:
+ * <pre><code> X<sup>T</sup>X b = X<sup>T</sup> y
+ * (QR)<sup>T</sup> (QR) b = (QR)<sup>T</sup>y
+ * R<sup>T</sup> (Q<sup>T</sup>Q) R b = R<sup>T</sup> Q<sup>T</sup> y
+ * R<sup>T</sup> R b = R<sup>T</sup> Q<sup>T</sup> y
+ * (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> R b = (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> Q<sup>T</sup> y
+ * R b = Q<sup>T</sup> y </code></pre></p>
+ *
+ * <p>Given <code>Q</code> and <code>R</code>, the last equation is solved by back-substitution.</p>
  *
  * @version $Revision$ $Date$
  * @since 2.0
@@ -122,12 +119,23 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * Returns the sum of squared deviations of Y from its mean.
+     * <p>Returns the sum of squared deviations of Y from its mean.</p>
+     *
+     * <p>If the model has no intercept term, <code>0</code> is used for the
+     * mean of Y - i.e., what is returned is the sum of the squared Y values.</p>
+     *
+     * <p>The value returned by this method is the SSTO value used in
+     * the {@link #calculateRSquared() R-squared} computation.</p>
      *
-     * @return total sum of squares
+     * @return SSTO - the total sum of squares
+     * @see #isNoIntercept()
      */
     public double calculateTotalSumOfSquares() {
-        return new SecondMoment().evaluate(Y.getData());
+        if (isNoIntercept()) {
+            return StatUtils.sumSq(Y.getData());
+        } else {
+            return new SecondMoment().evaluate(Y.getData());
+        }
     }
 
     /**
@@ -154,24 +162,34 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * Returns the adjusted R-squared statistic, defined by the formula <pre>
+     * <p>Returns the adjusted R-squared statistic, defined by the formula <pre>
      * R<sup>2</sup><sub>adj</sub> = 1 - [SSR (n - 1)] / [SSTO (n - p)]
      * </pre>
      * where SSR is the {@link #calculateResidualSumOfSquares() sum of squared residuals},
      * SSTO is the {@link #calculateTotalSumOfSquares() total sum of squares}, n is the number
-     * of observations and p is the number of parameters estimated (including the intercept).
+     * of observations and p is the number of parameters estimated (including the intercept).</p>
+     *
+     * <p>If the regression is estimated without an intercept term, what is returned is <pre>
+     * <code> 1 - (1 - {@link #calculateRSquared()}) * (n / (n - p)) </code>
+     * </pre></p>
      *
      * @return adjusted R-Squared statistic
+     * @see #isNoIntercept()
      */
     public double calculateAdjustedRSquared() {
         final double n = X.getRowDimension();
-        return 1 - (calculateResidualSumOfSquares() * (n - 1)) /
-            (calculateTotalSumOfSquares() * (n - X.getColumnDimension()));
+        if (isNoIntercept()) {
+            return 1 - (1 - calculateRSquared()) * (n / (n - X.getColumnDimension()));
+        } else {
+            return 1 - (calculateResidualSumOfSquares() * (n - 1)) /
+                (calculateTotalSumOfSquares() * (n - X.getColumnDimension()));
+        }
     }
 
     /**
      * {@inheritDoc}
-     * <p>This implementation computes and caches the QR decomposition of the X matrix once it is successfully loaded.</p>
+     * <p>This implementation computes and caches the QR decomposition of the X matrix
+     * once it is successfully loaded.</p>
      */
     @Override
     protected void newXSampleData(double[][] x) {
@@ -190,7 +208,7 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * <p>Calculates the variance on the beta by OLS.
+     * <p>Calculates the variance-covariance matrix of the regression parameters.
      * </p>
      * <p>Var(b) = (X<sup>T</sup>X)<sup>-1</sup>
      * </p>
@@ -198,7 +216,7 @@ public class OLSMultipleLinearRegression
      * to (R<sup>T</sup>R)<sup>-1</sup>, with only the top p rows of
      * R included, where p = the length of the beta vector.</p>
      *
-     * @return The beta variance
+     * @return The beta variance-covariance matrix
      */
     @Override
     protected RealMatrix calculateBetaVariance() {

Modified: commons/proper/math/branches/MATH_2_X/src/site/xdoc/changes.xml
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/site/xdoc/changes.xml?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/branches/MATH_2_X/src/site/xdoc/changes.xml Mon Sep 13 02:01:42 2010
@@ -52,6 +52,11 @@ The <action> type attribute can be add,u
     If the output is not quite correct, check for invisible trailing spaces!
      -->
     <release version="2.2" date="TBD" description="TBD">
+      <action dev="psteitz" type="update" issue="MATH-409">
+        Made intercept / no intercept configurable in multiple regression classes. By default, regression
+        models are estimated with an intercept term.  When the "noIntercept" property is set to
+        true, regression models are estimated without intercepts.
+      </action>
       <action dev="luc" type="fix" issue="MATH-415">
         Fixed lost cause in MathRuntimeException.createInternalError. Note that the message is still the default
         message for internal errors asking to report a bug to commons-math JIRA tracker. In order to retrieve
@@ -65,10 +70,9 @@ The <action> type attribute can be add,u
         into the x[][] arrays to create a model with an intercept term; while newSampleData(double[], int, int)
         created a model including an intercept term without requiring the unitary column.  All methods have
         been changed to eliminate the need for users to add unitary columns to specify regression models.
-        <!-- uncomment when MATH-409 is resolved (noIntercept option)
         Users of OLSMultipleLinearRegression or GLSMultipleLinearRegression versions 2.0 or 2.1 should either
         verify that their code either does not use the first set of data loading methods above or set the noIntercept
-        property on estimated models to get the previous behavior. -->
+        property to true on estimated models to get the previous behavior.
       </action>
       <action dev="luc" type="fix" issue="MATH-412" due-to="Bill Rossi">
         Added the dfp library providing arbitrary precision floating point computation in the spirit of

Modified: commons/proper/math/branches/MATH_2_X/src/test/R/multipleOLSRegressionTestCases
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/test/R/multipleOLSRegressionTestCases?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/test/R/multipleOLSRegressionTestCases (original)
+++ commons/proper/math/branches/MATH_2_X/src/test/R/multipleOLSRegressionTestCases Mon Sep 13 02:01:42 2010
@@ -22,12 +22,12 @@
 # source("<name-of-this-file>")
 #
 #------------------------------------------------------------------------------
-tol <- 1E-8                       # error tolerance for tests
+tol <- 1E-8                       # default error tolerance for tests
 #------------------------------------------------------------------------------
 # Function definitions
 
 source("testFunctions")           # utility test functions
-options(digits=16)	          # override number of digits displayed
+options(digits=16)	              # override number of digits displayed
 
 # function to verify OLS computations
 
@@ -97,7 +97,7 @@ expectedAdjRSquare <- NaN
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
  expectedStdError, expectedRSquare, expectedAdjRSquare, "perfect fit") 
 
-# Longly
+# Longley
 #
 # Data Source: J. Longley (1967) "An Appraisal of Least Squares Programs for the
 # Electronic Computer from the Point of View of the User", 
@@ -144,7 +144,7 @@ estimates <- matrix(c(-3482258.63459582,
 
 expectedBeta <- estimates[,1]
 expectedErrors <- estimates[,2]
-expectedResiduals <- c( 267.340029759711,-94.0139423988359,46.28716775752924,
+expectedResiduals <- c(267.340029759711,-94.0139423988359,46.28716775752924,
  -410.114621930906,309.7145907602313,-249.3112153297231,-164.0489563956039,
  -13.18035686637081,14.30477260005235,455.394094551857,-17.26892711483297,
  -39.0550425226967,-155.5499735953195,-85.6713080421283,341.9315139607727,
@@ -154,7 +154,32 @@ expectedRSquare <- 0.995479004577296
 expectedAdjRSquare <- 0.992465007628826
 
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
-expectedStdError, expectedRSquare, expectedAdjRSquare, "Longly") 
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Longley") 
+
+# Model with no intercept
+model <- lm(y ~ 0 + x1 + x2 + x3 + x4 + x5 + x6)
+
+estimates <- matrix(c(-52.99357013868291, 129.54486693117232, 
+         0.07107319907358, 0.03016640003786,
+        -0.42346585566399, 0.41773654056612, 
+        -0.57256866841929, 0.27899087467676,
+        -0.41420358884978, 0.32128496193363, 
+         48.41786562001326, 17.68948737819961),
+         nrow = 6, ncol = 2, byrow = TRUE)
+
+expectedBeta <- estimates[,1]
+expectedErrors <- estimates[,2]
+expectedResiduals <- c(279.90274927293092, -130.32465380836874, 90.73228661967445,
+  -401.31252201634948, -440.46768772620027, -543.54512853774793, 201.32111639536299,
+   215.90889365977932, 73.09368242049943, 913.21694494481869, 424.82484953610174, 
+   -8.56475876776709, -361.32974610842876, 27.34560497213464, 151.28955976355002,
+   -492.49937355336846)
+expectedStdError <- 475.1655079819517
+expectedRSquare <- 0.9999670130706
+expectedAdjRSquare <- 0.999947220913
+
+verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Longley No Intercept") 
 
 # Swiss Fertility (R dataset named "swiss")
 
@@ -249,5 +274,36 @@ expectedAdjRSquare <- 0.6164363850373927
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
 expectedStdError, expectedRSquare, expectedAdjRSquare, "Swiss Fertility") 
 
+# model with no intercept
+model <- lm(y ~ 0 + x1 + x2 + x3 + x4)
+
+estimates <- matrix(c(0.52191832900513, 0.10470063765677,
+      2.36588087917963, 0.41684100584290,
+     -0.94770353802795, 0.43370143099691, 
+      0.30851985863609, 0.07694953606522),
+     nrow = 4, ncol = 2, byrow = TRUE)
+
+expectedBeta <- estimates[,1]
+expectedErrors <- estimates[,2]
+
+expectedResiduals <- c(44.138759883538249, 27.720705122356215, 35.873200836126799, 
+  34.574619581211977, 26.600168342080213, 15.074636243026923, -12.704904871199814,
+  1.497443824078134, 2.691972687079431, 5.582798774291231, -4.422986561283165, 
+  -9.198581600334345, 4.481765170730647, 2.273520207553216, -22.649827853221336,
+  -17.747900013943308, 20.298314638496436, 6.861405135329779, -8.684712790954924,
+  -10.298639278062371, -9.896618896845819, 4.568568616351242, -15.313570491727944,
+  -13.762961360873966, 7.156100301980509, 16.722282219843990, 26.716200609071898,
+  -1.991466398777079, -2.523342564719335, 9.776486693095093, -5.297535127628603,
+  -16.639070567471094, -10.302057295211819, -23.549487860816846, 1.506624392156384,
+  -17.939174438345930, 13.105792202765040, -1.943329906928462, -1.516005841666695,
+  -0.759066561832886, 20.793137744128977, -2.485236153005426, 27.588238710486976,
+  2.658333257106881, -15.998337823623046, -5.550742066720694, -14.219077806826615)
+
+expectedStdError <- 17.24710630547
+expectedRSquare <- 0.946350722085
+expectedAdjRSquare <- 0.9413600915813
+
+verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Swiss Fertility No Intercept") 
 
 displayDashes(WIDTH)

Modified: commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java (original)
+++ commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java Mon Sep 13 02:01:42 2010
@@ -93,6 +93,16 @@ public abstract class MultipleLinearRegr
         regression.newYSampleData(y);
         assertEquals(flatX, regression.X);
         assertEquals(flatY, regression.Y);
+        
+        // No intercept
+        regression.setNoIntercept(true);
+        regression.newSampleData(design, 4, 3);
+        flatX = regression.X.copy();
+        flatY = regression.Y.copy();
+        regression.newXSampleData(x);
+        regression.newYSampleData(y);
+        assertEquals(flatX, regression.X);
+        assertEquals(flatY, regression.Y);
     }
     
     @Test(expected=IllegalArgumentException.class)

Modified: commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java (original)
+++ commons/proper/math/branches/MATH_2_X/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java Mon Sep 13 02:01:42 2010
@@ -137,9 +137,8 @@ public class OLSMultipleLinearRegression
             70551,116.9,554894,4007,2827,130081,1962
         };
 
-        // Transform to Y and X required by interface
-        int nobs = 16;
-        int nvars = 6;
+        final int nobs = 16;
+        final int nvars = 6;
 
         // Estimate the model
         OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
@@ -182,6 +181,40 @@ public class OLSMultipleLinearRegression
         assertEquals(0.992465007628826, model.calculateAdjustedRSquared(), 1E-12);
         
         checkVarianceConsistency(model);
+        
+        // Estimate model without intercept
+        model.setNoIntercept(true);
+        model.newSampleData(design, nobs, nvars);
+        
+        // Check expected beta values from R
+        betaHat = model.estimateRegressionParameters();
+        TestUtils.assertEquals(betaHat,
+          new double[]{-52.99357013868291, 0.07107319907358,
+                -0.42346585566399,-0.57256866841929,
+                -0.41420358884978, 48.41786562001326}, 1E-11); 
+        
+        // Check standard errors from R
+        errors = model.estimateRegressionParametersStandardErrors();
+        TestUtils.assertEquals(new double[] {129.54486693117232, 0.03016640003786,
+                0.41773654056612, 0.27899087467676, 0.32128496193363,
+                17.68948737819961}, errors, 1E-11);
+        
+        // Check expected residuals from R
+        residuals = model.estimateResiduals();
+        TestUtils.assertEquals(residuals, new double[]{
+                279.90274927293092, -130.32465380836874, 90.73228661967445, -401.31252201634948,
+                -440.46768772620027, -543.54512853774793, 201.32111639536299, 215.90889365977932,
+                73.09368242049943, 913.21694494481869, 424.82484953610174, -8.56475876776709,
+                -361.32974610842876, 27.34560497213464, 151.28955976355002, -492.49937355336846},
+                      1E-10);
+        
+        // Check regression standard error against R
+        assertEquals(475.1655079819517, model.estimateRegressionStandardError(), 1E-10);
+        
+        // Check R-Square statistics against R
+        assertEquals(0.9999670130706, model.calculateRSquared(), 1E-12);
+        assertEquals(0.999947220913, model.calculateAdjustedRSquared(), 1E-12);
+         
     }
 
     /**
@@ -248,7 +281,7 @@ public class OLSMultipleLinearRegression
         model.newSampleData(design, nobs, nvars);
 
         // Check expected beta values from R
-        final double[] betaHat = model.estimateRegressionParameters();
+        double[] betaHat = model.estimateRegressionParameters();
         TestUtils.assertEquals(betaHat,
                 new double[]{91.05542390271397,
                 -0.22064551045715,
@@ -257,7 +290,7 @@ public class OLSMultipleLinearRegression
                  0.12441843147162}, 1E-12);
 
         // Check expected residuals from R
-        final double[] residuals = model.estimateResiduals();
+        double[] residuals = model.estimateResiduals();
         TestUtils.assertEquals(residuals, new double[]{
                 7.1044267859730512,1.6580347433531366,
                 4.6944952770029644,8.4548022690166160,13.6547432343186212,
@@ -278,7 +311,7 @@ public class OLSMultipleLinearRegression
                 1E-12);
 
         // Check standard errors from R
-        final double[] errors = model.estimateRegressionParametersStandardErrors();
+        double[] errors = model.estimateRegressionParametersStandardErrors();
         TestUtils.assertEquals(new double[] {6.94881329475087,
                 0.07360008972340,
                 0.27410957467466,
@@ -293,6 +326,48 @@ public class OLSMultipleLinearRegression
         assertEquals(0.6164363850373927, model.calculateAdjustedRSquared(), 1E-12);
         
         checkVarianceConsistency(model);
+        
+        // Estimate the model with no intercept
+        model = new OLSMultipleLinearRegression();
+        model.setNoIntercept(true);
+        model.newSampleData(design, nobs, nvars);
+
+        // Check expected beta values from R
+        betaHat = model.estimateRegressionParameters();
+        TestUtils.assertEquals(betaHat,
+                new double[]{0.52191832900513,
+                  2.36588087917963,
+                  -0.94770353802795, 
+                  0.30851985863609}, 1E-12);
+
+        // Check expected residuals from R
+        residuals = model.estimateResiduals();
+        TestUtils.assertEquals(residuals, new double[]{
+                44.138759883538249, 27.720705122356215, 35.873200836126799, 
+                34.574619581211977, 26.600168342080213, 15.074636243026923, -12.704904871199814,
+                1.497443824078134, 2.691972687079431, 5.582798774291231, -4.422986561283165, 
+                -9.198581600334345, 4.481765170730647, 2.273520207553216, -22.649827853221336,
+                -17.747900013943308, 20.298314638496436, 6.861405135329779, -8.684712790954924,
+                -10.298639278062371, -9.896618896845819, 4.568568616351242, -15.313570491727944,
+                -13.762961360873966, 7.156100301980509, 16.722282219843990, 26.716200609071898,
+                -1.991466398777079, -2.523342564719335, 9.776486693095093, -5.297535127628603,
+                -16.639070567471094, -10.302057295211819, -23.549487860816846, 1.506624392156384,
+                -17.939174438345930, 13.105792202765040, -1.943329906928462, -1.516005841666695,
+                -0.759066561832886, 20.793137744128977, -2.485236153005426, 27.588238710486976,
+                2.658333257106881, -15.998337823623046, -5.550742066720694, -14.219077806826615},
+                1E-12);
+
+        // Check standard errors from R
+        errors = model.estimateRegressionParametersStandardErrors();
+        TestUtils.assertEquals(new double[] {0.10470063765677, 0.41684100584290,
+                0.43370143099691, 0.07694953606522}, errors, 1E-10);
+        
+        // Check regression standard error against R
+        assertEquals(17.24710630547, model.estimateRegressionStandardError(), 1E-10);
+        
+        // Check R-Square statistics against R
+        assertEquals(0.946350722085, model.calculateRSquared(), 1E-12);
+        assertEquals(0.9413600915813, model.calculateAdjustedRSquared(), 1E-12);
     }
 
     /**
@@ -415,6 +490,16 @@ public class OLSMultipleLinearRegression
         regression.newYSampleData(y);
         assertEquals(combinedX, regression.X);
         assertEquals(combinedY, regression.Y);
+        
+        // No intercept
+        regression.setNoIntercept(true);
+        regression.newSampleData(y, x);
+        combinedX = regression.X.copy();
+        combinedY = regression.Y.copy();
+        regression.newXSampleData(x);
+        regression.newYSampleData(y);
+        assertEquals(combinedX, regression.X);
+        assertEquals(combinedY, regression.Y);
     }
     
     @Test(expected=IllegalArgumentException.class)

Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/AbstractMultipleLinearRegression.java Mon Sep 13 02:01:42 2010
@@ -39,6 +39,23 @@ public abstract class AbstractMultipleLi
     /** Y sample data. */
     protected RealVector Y;
 
+    /** Whether or not the regression model includes an intercept.  True means no intercept. */
+    private boolean noIntercept = false;
+
+    /**
+     * @return true if the model has no intercept term; false otherwise
+     */
+    public boolean isNoIntercept() {
+        return noIntercept;
+    }
+
+    /**
+     * @param noIntercept true means the model is to be estimated without an intercept term
+     */
+    public void setNoIntercept(boolean noIntercept) {
+        this.noIntercept = noIntercept;
+    }
+
     /**
      * <p>Loads model x and y sample data from a flat input array, overriding any previous sample.
      * </p>
@@ -55,7 +72,9 @@ public abstract class AbstractMultipleLi
      * </pre>
      * </p>
      * <p>Note that there is no need to add an initial unitary column (column of 1's) when
-     * specifying a model including an intercept term.
+     * specifying a model including an intercept term.  If {@link #isNoIntercept()} is <code>true</code>,
+     * the X matrix will be created without an initial column of "1"s; otherwise this column will
+     * be added.
      * </p>
      * <p>Throws IllegalArgumentException if any of the following preconditions fail:
      * <ul><li><code>data</code> cannot be null</li>
@@ -82,12 +101,15 @@ public abstract class AbstractMultipleLi
                     LocalizedFormats.NOT_ENOUGH_DATA_FOR_NUMBER_OF_PREDICTORS);
         }
         double[] y = new double[nobs];
-        double[][] x = new double[nobs][nvars + 1];
+        final int cols = noIntercept ? nvars: nvars + 1;
+        double[][] x = new double[nobs][cols];
         int pointer = 0;
         for (int i = 0; i < nobs; i++) {
             y[i] = data[pointer++];
-            x[i][0] = 1.0d;
-            for (int j = 1; j < nvars + 1; j++) {
+            if (!noIntercept) {
+                x[i][0] = 1.0d;
+            }
+            for (int j = noIntercept ? 0 : 1; j < cols; j++) {
                 x[i][j] = data[pointer++];
             }
         }
@@ -145,18 +167,22 @@ public abstract class AbstractMultipleLi
             throw MathRuntimeException.createIllegalArgumentException(
                     LocalizedFormats.NO_DATA);
         }
-        final int nVars = x[0].length;
-        final double[][] xAug = new double[x.length][nVars + 1];
-        for (int i = 0; i < x.length; i++) {
-            if (x[i].length != nVars) {
-                throw MathRuntimeException.createIllegalArgumentException(
-                        LocalizedFormats.DIFFERENT_ROWS_LENGTHS,
-                        x[i].length, nVars);
+        if (noIntercept) {
+            this.X = new Array2DRowRealMatrix(x, true);
+        } else { // Augment design matrix with initial unitary column
+            final int nVars = x[0].length;
+            final double[][] xAug = new double[x.length][nVars + 1];
+            for (int i = 0; i < x.length; i++) {
+                if (x[i].length != nVars) {
+                    throw MathRuntimeException.createIllegalArgumentException(
+                            LocalizedFormats.DIFFERENT_ROWS_LENGTHS,
+                            x[i].length, nVars);
+                }
+                xAug[i][0] = 1.0d;
+                System.arraycopy(x[i], 0, xAug[i], 1, nVars);
             }
-            xAug[i][0] = 1.0d;
-            System.arraycopy(x[i], 0, xAug[i], 1, nVars);
+            this.X = new Array2DRowRealMatrix(xAug, false);
         }
-        this.X = new Array2DRowRealMatrix(xAug, false);
     }
 
     /**

Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegression.java Mon Sep 13 02:01:42 2010
@@ -22,35 +22,32 @@ import org.apache.commons.math.linear.QR
 import org.apache.commons.math.linear.QRDecompositionImpl;
 import org.apache.commons.math.linear.RealMatrix;
 import org.apache.commons.math.linear.RealVector;
+import org.apache.commons.math.stat.StatUtils;
 import org.apache.commons.math.stat.descriptive.moment.SecondMoment;
 
 /**
  * <p>Implements ordinary least squares (OLS) to estimate the parameters of a
  * multiple linear regression model.</p>
  *
- * <p>OLS assumes the covariance matrix of the error to be diagonal and with
- * equal variance.</p>
- * <p>
- * u ~ N(0, &sigma;<sup>2</sup>I)
- * </p>
- *
- * <p>The regression coefficients, b, satisfy the normal equations:
- * <p>
- * X<sup>T</sup> X b = X<sup>T</sup> y
- * </p>
+ * <p>The regression coefficients, <code>b</code>, satisfy the normal equations:
+ * <pre><code> X<sup>T</sup> X b = X<sup>T</sup> y </code></pre></p>
  *
  * <p>To solve the normal equations, this implementation uses QR decomposition
- * of the X matrix. (See {@link QRDecompositionImpl} for details on the
- * decomposition algorithm.)
- * </p>
- * <p>X<sup>T</sup>X b = X<sup>T</sup> y <br/>
- * (QR)<sup>T</sup> (QR) b = (QR)<sup>T</sup>y <br/>
- * R<sup>T</sup> (Q<sup>T</sup>Q) R b = R<sup>T</sup> Q<sup>T</sup> y <br/>
- * R<sup>T</sup> R b = R<sup>T</sup> Q<sup>T</sup> y <br/>
- * (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> R b = (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> Q<sup>T</sup> y <br/>
- * R b = Q<sup>T</sup> y
- * </p>
- * Given Q and R, the last equation is solved by back-substitution.</p>
+ * of the <code>X</code> matrix. (See {@link QRDecompositionImpl} for details on the
+ * decomposition algorithm.) The <code>X</code> matrix, also known as the <i>design matrix,</i>
+ * has rows corresponding to sample observations and columns corresponding to independent
+ * variables.  When the model is estimated using an intercept term (i.e. when
+ * {@link #isNoIntercept() isNoIntercept} is false as it is by default), the <code>X</code>
+ * matrix includes an initial column identically equal to 1.  We solve the normal equations
+ * as follows:
+ * <pre><code> X<sup>T</sup>X b = X<sup>T</sup> y
+ * (QR)<sup>T</sup> (QR) b = (QR)<sup>T</sup>y
+ * R<sup>T</sup> (Q<sup>T</sup>Q) R b = R<sup>T</sup> Q<sup>T</sup> y
+ * R<sup>T</sup> R b = R<sup>T</sup> Q<sup>T</sup> y
+ * (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> R b = (R<sup>T</sup>)<sup>-1</sup> R<sup>T</sup> Q<sup>T</sup> y
+ * R b = Q<sup>T</sup> y </code></pre></p>
+ *
+ * <p>Given <code>Q</code> and <code>R</code>, the last equation is solved by back-substitution.</p>
  *
  * @version $Revision$ $Date$
  * @since 2.0
@@ -122,12 +119,23 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * Returns the sum of squared deviations of Y from its mean.
+     * <p>Returns the sum of squared deviations of Y from its mean.</p>
+     *
+     * <p>If the model has no intercept term, <code>0</code> is used for the
+     * mean of Y - i.e., what is returned is the sum of the squared Y values.</p>
+     *
+     * <p>The value returned by this method is the SSTO value used in
+     * the {@link #calculateRSquared() R-squared} computation.</p>
      *
-     * @return total sum of squares
+     * @return SSTO - the total sum of squares
+     * @see #isNoIntercept()
      */
     public double calculateTotalSumOfSquares() {
-        return new SecondMoment().evaluate(Y.getData());
+        if (isNoIntercept()) {
+            return StatUtils.sumSq(Y.getData());
+        } else {
+            return new SecondMoment().evaluate(Y.getData());
+        }
     }
 
     /**
@@ -154,24 +162,34 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * Returns the adjusted R-squared statistic, defined by the formula <pre>
+     * <p>Returns the adjusted R-squared statistic, defined by the formula <pre>
      * R<sup>2</sup><sub>adj</sub> = 1 - [SSR (n - 1)] / [SSTO (n - p)]
      * </pre>
      * where SSR is the {@link #calculateResidualSumOfSquares() sum of squared residuals},
      * SSTO is the {@link #calculateTotalSumOfSquares() total sum of squares}, n is the number
-     * of observations and p is the number of parameters estimated (including the intercept).
+     * of observations and p is the number of parameters estimated (including the intercept).</p>
+     *
+     * <p>If the regression is estimated without an intercept term, what is returned is <pre>
+     * <code> 1 - (1 - {@link #calculateRSquared()}) * (n / (n - p)) </code>
+     * </pre></p>
      *
      * @return adjusted R-Squared statistic
+     * @see #isNoIntercept()
      */
     public double calculateAdjustedRSquared() {
         final double n = X.getRowDimension();
-        return 1 - (calculateResidualSumOfSquares() * (n - 1)) /
-            (calculateTotalSumOfSquares() * (n - X.getColumnDimension()));
+        if (isNoIntercept()) {
+            return 1 - (1 - calculateRSquared()) * (n / (n - X.getColumnDimension()));
+        } else {
+            return 1 - (calculateResidualSumOfSquares() * (n - 1)) /
+                (calculateTotalSumOfSquares() * (n - X.getColumnDimension()));
+        }
     }
 
     /**
      * {@inheritDoc}
-     * <p>This implementation computes and caches the QR decomposition of the X matrix once it is successfully loaded.</p>
+     * <p>This implementation computes and caches the QR decomposition of the X matrix
+     * once it is successfully loaded.</p>
      */
     @Override
     protected void newXSampleData(double[][] x) {
@@ -190,7 +208,7 @@ public class OLSMultipleLinearRegression
     }
 
     /**
-     * <p>Calculates the variance on the beta by OLS.
+     * <p>Calculates the variance-covariance matrix of the regression parameters.
      * </p>
      * <p>Var(b) = (X<sup>T</sup>X)<sup>-1</sup>
      * </p>
@@ -198,7 +216,7 @@ public class OLSMultipleLinearRegression
      * to (R<sup>T</sup>R)<sup>-1</sup>, with only the top p rows of
      * R included, where p = the length of the beta vector.</p>
      *
-     * @return The beta variance
+     * @return The beta variance-covariance matrix
      */
     @Override
     protected RealMatrix calculateBetaVariance() {

Modified: commons/proper/math/trunk/src/site/xdoc/changes.xml
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/site/xdoc/changes.xml?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/trunk/src/site/xdoc/changes.xml Mon Sep 13 02:01:42 2010
@@ -71,6 +71,11 @@ The <action> type attribute can be add,u
       </action>
     </release>
     <release version="2.2" date="TBD" description="TBD">
+      <action dev="psteitz" type="update" issue="MATH-409">
+        Made intercept / no intercept configurable in multiple regression classes. By default, regression
+        models are estimated with an intercept term.  When the "noIntercept" property is set to
+        true, regression models are estimated without intercepts.
+      </action>
       <action dev="luc" type="fix" issue="MATH-415">
         Fixed lost cause in MathRuntimeException.createInternalError. Note that the message is still the default
         message for internal errors asking to report a bug to commons-math JIRA tracker. In order to retrieve
@@ -84,10 +89,9 @@ The <action> type attribute can be add,u
         into the x[][] arrays to create a model with an intercept term; while newSampleData(double[], int, int)
         created a model including an intercept term without requiring the unitary column.  All methods have
         been changed to eliminate the need for users to add unitary columns to specify regression models.
-        <!-- uncomment when MATH-409 is resolved (noIntercept option)
         Users of OLSMultipleLinearRegression or GLSMultipleLinearRegression versions 2.0 or 2.1 should either
         verify that their code either does not use the first set of data loading methods above or set the noIntercept
-        property on estimated models to get the previous behavior. -->
+        property on estimated models to get the previous behavior.
       </action>
       <action dev="luc" type="fix" issue="MATH-412" due-to="Bill Rossi">
         Added the dfp library providing arbitrary precision floating point computation in the spirit of

Modified: commons/proper/math/trunk/src/test/R/multipleOLSRegressionTestCases
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/R/multipleOLSRegressionTestCases?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/R/multipleOLSRegressionTestCases (original)
+++ commons/proper/math/trunk/src/test/R/multipleOLSRegressionTestCases Mon Sep 13 02:01:42 2010
@@ -22,12 +22,12 @@
 # source("<name-of-this-file>")
 #
 #------------------------------------------------------------------------------
-tol <- 1E-8                       # error tolerance for tests
+tol <- 1E-8                       # default error tolerance for tests
 #------------------------------------------------------------------------------
 # Function definitions
 
 source("testFunctions")           # utility test functions
-options(digits=16)	          # override number of digits displayed
+options(digits=16)	              # override number of digits displayed
 
 # function to verify OLS computations
 
@@ -97,7 +97,7 @@ expectedAdjRSquare <- NaN
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
  expectedStdError, expectedRSquare, expectedAdjRSquare, "perfect fit") 
 
-# Longly
+# Longley
 #
 # Data Source: J. Longley (1967) "An Appraisal of Least Squares Programs for the
 # Electronic Computer from the Point of View of the User", 
@@ -144,7 +144,7 @@ estimates <- matrix(c(-3482258.63459582,
 
 expectedBeta <- estimates[,1]
 expectedErrors <- estimates[,2]
-expectedResiduals <- c( 267.340029759711,-94.0139423988359,46.28716775752924,
+expectedResiduals <- c(267.340029759711,-94.0139423988359,46.28716775752924,
  -410.114621930906,309.7145907602313,-249.3112153297231,-164.0489563956039,
  -13.18035686637081,14.30477260005235,455.394094551857,-17.26892711483297,
  -39.0550425226967,-155.5499735953195,-85.6713080421283,341.9315139607727,
@@ -154,7 +154,32 @@ expectedRSquare <- 0.995479004577296
 expectedAdjRSquare <- 0.992465007628826
 
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
-expectedStdError, expectedRSquare, expectedAdjRSquare, "Longly") 
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Longley") 
+
+# Model with no intercept
+model <- lm(y ~ 0 + x1 + x2 + x3 + x4 + x5 + x6)
+
+estimates <- matrix(c(-52.99357013868291, 129.54486693117232, 
+         0.07107319907358, 0.03016640003786,
+        -0.42346585566399, 0.41773654056612, 
+        -0.57256866841929, 0.27899087467676,
+        -0.41420358884978, 0.32128496193363, 
+         48.41786562001326, 17.68948737819961),
+         nrow = 6, ncol = 2, byrow = TRUE)
+
+expectedBeta <- estimates[,1]
+expectedErrors <- estimates[,2]
+expectedResiduals <- c(279.90274927293092, -130.32465380836874, 90.73228661967445,
+  -401.31252201634948, -440.46768772620027, -543.54512853774793, 201.32111639536299,
+   215.90889365977932, 73.09368242049943, 913.21694494481869, 424.82484953610174, 
+   -8.56475876776709, -361.32974610842876, 27.34560497213464, 151.28955976355002,
+   -492.49937355336846)
+expectedStdError <- 475.1655079819517
+expectedRSquare <- 0.9999670130706
+expectedAdjRSquare <- 0.999947220913
+
+verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Longley No Intercept") 
 
 # Swiss Fertility (R dataset named "swiss")
 
@@ -249,5 +274,36 @@ expectedAdjRSquare <- 0.6164363850373927
 verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
 expectedStdError, expectedRSquare, expectedAdjRSquare, "Swiss Fertility") 
 
+# model with no intercept
+model <- lm(y ~ 0 + x1 + x2 + x3 + x4)
+
+estimates <- matrix(c(0.52191832900513, 0.10470063765677,
+      2.36588087917963, 0.41684100584290,
+     -0.94770353802795, 0.43370143099691, 
+      0.30851985863609, 0.07694953606522),
+     nrow = 4, ncol = 2, byrow = TRUE)
+
+expectedBeta <- estimates[,1]
+expectedErrors <- estimates[,2]
+
+expectedResiduals <- c(44.138759883538249, 27.720705122356215, 35.873200836126799, 
+  34.574619581211977, 26.600168342080213, 15.074636243026923, -12.704904871199814,
+  1.497443824078134, 2.691972687079431, 5.582798774291231, -4.422986561283165, 
+  -9.198581600334345, 4.481765170730647, 2.273520207553216, -22.649827853221336,
+  -17.747900013943308, 20.298314638496436, 6.861405135329779, -8.684712790954924,
+  -10.298639278062371, -9.896618896845819, 4.568568616351242, -15.313570491727944,
+  -13.762961360873966, 7.156100301980509, 16.722282219843990, 26.716200609071898,
+  -1.991466398777079, -2.523342564719335, 9.776486693095093, -5.297535127628603,
+  -16.639070567471094, -10.302057295211819, -23.549487860816846, 1.506624392156384,
+  -17.939174438345930, 13.105792202765040, -1.943329906928462, -1.516005841666695,
+  -0.759066561832886, 20.793137744128977, -2.485236153005426, 27.588238710486976,
+  2.658333257106881, -15.998337823623046, -5.550742066720694, -14.219077806826615)
+
+expectedStdError <- 17.24710630547
+expectedRSquare <- 0.946350722085
+expectedAdjRSquare <- 0.9413600915813
+
+verifyRegression(model, expectedBeta, expectedResiduals, expectedErrors,
+expectedStdError, expectedRSquare, expectedAdjRSquare, "Swiss Fertility No Intercept") 
 
 displayDashes(WIDTH)

Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/MultipleLinearRegressionAbstractTest.java Mon Sep 13 02:01:42 2010
@@ -93,6 +93,16 @@ public abstract class MultipleLinearRegr
         regression.newYSampleData(y);
         assertEquals(flatX, regression.X);
         assertEquals(flatY, regression.Y);
+        
+        // No intercept
+        regression.setNoIntercept(true);
+        regression.newSampleData(design, 4, 3);
+        flatX = regression.X.copy();
+        flatY = regression.Y.copy();
+        regression.newXSampleData(x);
+        regression.newYSampleData(y);
+        assertEquals(flatX, regression.X);
+        assertEquals(flatY, regression.Y);
     }
     
     @Test(expected=IllegalArgumentException.class)

Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java?rev=996404&r1=996403&r2=996404&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math/stat/regression/OLSMultipleLinearRegressionTest.java Mon Sep 13 02:01:42 2010
@@ -137,9 +137,8 @@ public class OLSMultipleLinearRegression
             70551,116.9,554894,4007,2827,130081,1962
         };
 
-        // Transform to Y and X required by interface
-        int nobs = 16;
-        int nvars = 6;
+        final int nobs = 16;
+        final int nvars = 6;
 
         // Estimate the model
         OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
@@ -182,6 +181,40 @@ public class OLSMultipleLinearRegression
         assertEquals(0.992465007628826, model.calculateAdjustedRSquared(), 1E-12);
         
         checkVarianceConsistency(model);
+        
+        // Estimate model without intercept
+        model.setNoIntercept(true);
+        model.newSampleData(design, nobs, nvars);
+        
+        // Check expected beta values from R
+        betaHat = model.estimateRegressionParameters();
+        TestUtils.assertEquals(betaHat,
+          new double[]{-52.99357013868291, 0.07107319907358,
+                -0.42346585566399,-0.57256866841929,
+                -0.41420358884978, 48.41786562001326}, 1E-11); 
+        
+        // Check standard errors from R
+        errors = model.estimateRegressionParametersStandardErrors();
+        TestUtils.assertEquals(new double[] {129.54486693117232, 0.03016640003786,
+                0.41773654056612, 0.27899087467676, 0.32128496193363,
+                17.68948737819961}, errors, 1E-11);
+        
+        // Check expected residuals from R
+        residuals = model.estimateResiduals();
+        TestUtils.assertEquals(residuals, new double[]{
+                279.90274927293092, -130.32465380836874, 90.73228661967445, -401.31252201634948,
+                -440.46768772620027, -543.54512853774793, 201.32111639536299, 215.90889365977932,
+                73.09368242049943, 913.21694494481869, 424.82484953610174, -8.56475876776709,
+                -361.32974610842876, 27.34560497213464, 151.28955976355002, -492.49937355336846},
+                      1E-10);
+        
+        // Check regression standard error against R
+        assertEquals(475.1655079819517, model.estimateRegressionStandardError(), 1E-10);
+        
+        // Check R-Square statistics against R
+        assertEquals(0.9999670130706, model.calculateRSquared(), 1E-12);
+        assertEquals(0.999947220913, model.calculateAdjustedRSquared(), 1E-12);
+         
     }
 
     /**
@@ -248,7 +281,7 @@ public class OLSMultipleLinearRegression
         model.newSampleData(design, nobs, nvars);
 
         // Check expected beta values from R
-        final double[] betaHat = model.estimateRegressionParameters();
+        double[] betaHat = model.estimateRegressionParameters();
         TestUtils.assertEquals(betaHat,
                 new double[]{91.05542390271397,
                 -0.22064551045715,
@@ -257,7 +290,7 @@ public class OLSMultipleLinearRegression
                  0.12441843147162}, 1E-12);
 
         // Check expected residuals from R
-        final double[] residuals = model.estimateResiduals();
+        double[] residuals = model.estimateResiduals();
         TestUtils.assertEquals(residuals, new double[]{
                 7.1044267859730512,1.6580347433531366,
                 4.6944952770029644,8.4548022690166160,13.6547432343186212,
@@ -278,7 +311,7 @@ public class OLSMultipleLinearRegression
                 1E-12);
 
         // Check standard errors from R
-        final double[] errors = model.estimateRegressionParametersStandardErrors();
+        double[] errors = model.estimateRegressionParametersStandardErrors();
         TestUtils.assertEquals(new double[] {6.94881329475087,
                 0.07360008972340,
                 0.27410957467466,
@@ -293,6 +326,48 @@ public class OLSMultipleLinearRegression
         assertEquals(0.6164363850373927, model.calculateAdjustedRSquared(), 1E-12);
         
         checkVarianceConsistency(model);
+        
+        // Estimate the model with no intercept
+        model = new OLSMultipleLinearRegression();
+        model.setNoIntercept(true);
+        model.newSampleData(design, nobs, nvars);
+
+        // Check expected beta values from R
+        betaHat = model.estimateRegressionParameters();
+        TestUtils.assertEquals(betaHat,
+                new double[]{0.52191832900513,
+                  2.36588087917963,
+                  -0.94770353802795, 
+                  0.30851985863609}, 1E-12);
+
+        // Check expected residuals from R
+        residuals = model.estimateResiduals();
+        TestUtils.assertEquals(residuals, new double[]{
+                44.138759883538249, 27.720705122356215, 35.873200836126799, 
+                34.574619581211977, 26.600168342080213, 15.074636243026923, -12.704904871199814,
+                1.497443824078134, 2.691972687079431, 5.582798774291231, -4.422986561283165, 
+                -9.198581600334345, 4.481765170730647, 2.273520207553216, -22.649827853221336,
+                -17.747900013943308, 20.298314638496436, 6.861405135329779, -8.684712790954924,
+                -10.298639278062371, -9.896618896845819, 4.568568616351242, -15.313570491727944,
+                -13.762961360873966, 7.156100301980509, 16.722282219843990, 26.716200609071898,
+                -1.991466398777079, -2.523342564719335, 9.776486693095093, -5.297535127628603,
+                -16.639070567471094, -10.302057295211819, -23.549487860816846, 1.506624392156384,
+                -17.939174438345930, 13.105792202765040, -1.943329906928462, -1.516005841666695,
+                -0.759066561832886, 20.793137744128977, -2.485236153005426, 27.588238710486976,
+                2.658333257106881, -15.998337823623046, -5.550742066720694, -14.219077806826615},
+                1E-12);
+
+        // Check standard errors from R
+        errors = model.estimateRegressionParametersStandardErrors();
+        TestUtils.assertEquals(new double[] {0.10470063765677, 0.41684100584290,
+                0.43370143099691, 0.07694953606522}, errors, 1E-10);
+        
+        // Check regression standard error against R
+        assertEquals(17.24710630547, model.estimateRegressionStandardError(), 1E-10);
+        
+        // Check R-Square statistics against R
+        assertEquals(0.946350722085, model.calculateRSquared(), 1E-12);
+        assertEquals(0.9413600915813, model.calculateAdjustedRSquared(), 1E-12);
     }
 
     /**
@@ -415,6 +490,16 @@ public class OLSMultipleLinearRegression
         regression.newYSampleData(y);
         assertEquals(combinedX, regression.X);
         assertEquals(combinedY, regression.Y);
+        
+        // No intercept
+        regression.setNoIntercept(true);
+        regression.newSampleData(y, x);
+        combinedX = regression.X.copy();
+        combinedY = regression.Y.copy();
+        regression.newXSampleData(x);
+        regression.newYSampleData(y);
+        assertEquals(combinedX, regression.X);
+        assertEquals(combinedY, regression.Y);
     }
     
     @Test(expected=IllegalArgumentException.class)



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