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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-377) weight versus sigma in AbstractLeastSquares
Date Mon, 21 Jun 2010 13:31:25 GMT

    [ https://issues.apache.org/jira/browse/MATH-377?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12880827#action_12880827
] 

Phil Steitz commented on MATH-377:
----------------------------------

I could be missing something, but I see no reason that the weighted sum of squared residuals
computed here (after the proposed change) should in general follow a chi-square distribution
or be related to a chi-square test statistic of any kind.   Why is it called chi-square? 
Sorry if I am missing something simple here.

> weight versus sigma in AbstractLeastSquares
> -------------------------------------------
>
>                 Key: MATH-377
>                 URL: https://issues.apache.org/jira/browse/MATH-377
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 2.1
>            Reporter: Dimitri Pourbaix
>             Fix For: 2.2
>
>   Original Estimate: 0.02h
>  Remaining Estimate: 0.02h
>
> In AbstractLeastSquares, residualsWeights contains the WEIGHTS assigned to each observation.
 In the method getRMS(), these weights are multiplicative as they should. unlike in getChiSquare()
where it appears at the denominator!   If the weight is really the weight of the observation,
it should multiply the square of the residual even in the computation of the chi2.
>  Once corrected, getRMS() can even reduce
>  public double getRMS() {return Math.sqrt(getChiSquare()/rows);}

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