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From "Mark Devaney (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-392) calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
Date Wed, 21 Jul 2010 18:43:51 GMT
calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
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                 Key: MATH-392
                 URL: https://issues.apache.org/jira/browse/MATH-392
             Project: Commons Math
          Issue Type: Bug
    Affects Versions: 2.1
            Reporter: Mark Devaney
            Priority: Minor


Implementation of OLS/GLSMultipleLinearRegression is:
@Override
173        protected double calculateYVariance() {
174            RealVector residuals = calculateResiduals();
175            return residuals.dotProduct(residuals) /
176                   (X.getRowDimension() - X.getColumnDimension());
177        }

This gives variance of residuals not variance of the dependent (Y) variable as the documentation
suggests.


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