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From "Marios Michaelidis (JIRA)" <j...@apache.org>
Subject [jira] [Created] (MATH-857) I would like to include a VIF and TOLERANCE check for a 2 dimensional double array, vey commonly used by major packages to determine variables that cause multi-colinearity issues and should be excluded from the models
Date Sat, 08 Sep 2012 07:45:07 GMT
Marios Michaelidis created MATH-857:
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             Summary: I would like to include a VIF and TOLERANCE check for a 2 dimensional
double array, vey commonly used by major packages to determine variables that cause multi-colinearity
issues and should be excluded from the models
                 Key: MATH-857
                 URL: https://issues.apache.org/jira/browse/MATH-857
             Project: Commons Math
          Issue Type: New Feature
    Affects Versions: 3.0, 3.1
         Environment: can apply to all operating systems
            Reporter: Marios Michaelidis
             Fix For: 3.1, 3.0


Multicollinearity is a statistical phenomenon in which two or more predictor variables in
any multiple regression model are highly correlated. Tolerance and VIF are checks that allows
to avoid optimization failes due to "inability to converge". Most of the times, the major
packages (SAS, SPSS etc), have a check prior to running the model and they exclude variables
that might cause these kind of problems. It is quite a useful tool to be in common maths.

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