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From "Dimitri Pourbaix (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-377) weight versus sigma in AbstractLeastSquares
Date Sun, 20 Jun 2010 13:56:24 GMT

    [ https://issues.apache.org/jira/browse/MATH-377?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12880637#action_12880637
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Dimitri Pourbaix commented on MATH-377:
---------------------------------------

OK, let us define ChiSquare as the sum of the weighted square of the residual in order to
be consistent with the rest of the definitions in that class.  That would also be consistent
with what users expect from a parameter labeled 'weight' rather than 'sigma'.  If we reach
consensus on that definition, I can take care of that issue.

> 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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