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From Phil Steitz <phil.ste...@gmail.com>
Subject Re: [math] Re: Longley Data
Date Tue, 12 Jul 2011 16:37:15 GMT
On 7/12/11 9:14 AM, Greg Sterijevski wrote:
> I have opened a JIRA issue. I would also like to add the Wampler1-4 tests
> into OLSMultipleRegression. Would it be okay to do this with one change?
> Instead of multiple ones?

Thanks!

It would be better to separate the "successful" test patch.  Create
a new issue called something like "Additional NIST reference data
tests for OLS Regression."  There are two reasons for separating
these patches:

1) We never like to commit failing tests. The test case illustrating
MATH-615 will get committed when the bug is resolved.
2) The non-Fillippi tests have nothing to do with MATH-615.

Many thanks for implementing the reference data tests.

Phil
> On Tue, Jul 12, 2011 at 10:37 AM, Greg Sterijevski
> <gsterijevski@gmail.com>wrote:
>
>> I will add the tests. I do believe it is the QR decomp which is failing.
>>
>> -Greg
>>
>>
>> On Tue, Jul 12, 2011 at 10:31 AM, Phil Steitz <phil.steitz@gmail.com>wrote:
>>
>>> On 7/12/11 7:43 AM, Greg Sterijevski wrote:
>>>> I will run against R.
>>>>
>>>> Here is the official repository @ NIST for Wampler/Longley/Filippelli
>>> data..
>>>> http://www.itl.nist.gov/div898/strd/lls/lls.shtml
>>>>
>>>> If you follow the link, the ASCII data files also have the certified
>>>> results.
>>>>
>>>> Would you like me to add these tests to the unit test for
>>>> OLSMultipleLinearRegression?
>>>>
>>> That would be great.  Thanks!
>>>
>>> We should also figure out why OLSLinearRegression thinks the
>>> Filippelli design matrix is singular.   We should raise a JIRA for
>>> that.  Could be this is a QR decomp issue.
>>>
>>> Phil
>>>> On Tue, Jul 12, 2011 at 12:52 AM, Phil Steitz <phil.steitz@gmail.com>
>>> wrote:
>>>>> On 7/11/11 9:34 PM, Greg Sterijevski wrote:
>>>>>> I also ran the filipelli data through both the regression technique
>>> that
>>>>> I
>>>>>> am working on, and the current multiple regression package. My work
in
>>>>>> progress gets estimates which though not great are close to the
>>> certified
>>>>>> values. OLSMultipleLinearRegression exceptions out, complaining about
>>> a
>>>>>> singular matrix.
>>>>> I assume the design matrix is near-singular, correct?  Where did the
>>>>> certified values come from?  If you have access to R, it would be
>>>>> good to compare results against R as well.  There is R code in
>>>>> src/test/R set up to compare results against [math].
>>>>>> On Mon, Jul 11, 2011 at 11:07 PM, Greg Sterijevski
>>>>>> <gsterijevski@gmail.com>wrote:
>>>>>>
>>>>>>> Yes, my apologies. I am a bit new to this.
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>> On Mon, Jul 11, 2011 at 10:59 PM, Henri Yandell <flamefew@gmail.com
>>>>>> wrote:
>>>>>>>> I'm assuming this is Commons Math. I've added a [math] so
it catches
>>>>>>>> the interest of those involved.
>>>>>>>>
>>>>>>>>
>>>>>>>> On Mon, Jul 11, 2011 at 8:52 PM, Greg Sterijevski
>>>>>>>> <gsterijevski@gmail.com> wrote:
>>>>>>>>> Additionally, I pass all of the Wampler beta estimates.
>>>>>>>>>
>>>>>>>>> On Mon, Jul 11, 2011 at 10:40 PM, Greg Sterijevski
>>>>>>>>> <gsterijevski@gmail.com>wrote:
>>>>>>>>>
>>>>>>>>>> Hello All,
>>>>>>>>>>
>>>>>>>>>> I am testing the first 'updating' ols regression
algorithm. I ran
>>> it
>>>>>>>>>> through the Wampler1 data. It gets 1.0s for all of
the beta
>>>>> estimates.
>>>>>>>> I
>>>>>>>>>> next ran the Longley dataset. I match, but with a
tolerance of
>>>>> 1.0e-6.
>>>>>>>> This
>>>>>>>>>> is a bit less than two orders of magnitude worse
than the current
>>>>>>>> incore
>>>>>>>>>> estimator( 2.0e-8). My question to the list, is how
important is
>>> this
>>>>>>>> diff?
>>>>>>>>>> Is it worth tearing things apart to figure out where
the error is
>>>>>>>>>> accumulating?
>>>>>>>>>>
>>>>>>>>>> Thanks,
>>>>>>>>>>
>>>>>>>>>> -Greg
>>>>>>>>>>
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>>>>>>>>
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>>>>>
>>>
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>>>
>>>


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