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From "Dimitri Pourbaix (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-377) weight versus sigma in AbstractLeastSquares
Date Mon, 21 Jun 2010 14:36:23 GMT

    [ https://issues.apache.org/jira/browse/MATH-377?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12880848#action_12880848
] 

Dimitri Pourbaix commented on MATH-377:
---------------------------------------

Indeed, the confusion comes from the fact that, in some textbooks, each residual is divided
by 'sigma_i' which leads to a weight of 1/(sigma_i^2).  In CM, we adopted the terminology
'weight' without reference to sigma.  I will change the javadoc accordingly.

> 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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