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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] Resolved: (MATH-392) calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
Date Sun, 22 Aug 2010 13:17:16 GMT

     [ https://issues.apache.org/jira/browse/MATH-392?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Phil Steitz resolved MATH-392.
------------------------------

    Resolution: Fixed

Fixed in 987897.   I added calcluate/estimateErrorVariance methods to return what was previously
incorrectly reported as "Y variance."
Thanks for the patch!

> calculateYVariance in OLS/GLSMultipleLinearRegression uses residuals not Y vars
> -------------------------------------------------------------------------------
>
>                 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
>             Fix For: 2.2
>
>         Attachments: patch
>
>
> 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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