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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-857) Include a VIF and TOLERANCE check for a 2 dimensional double array, to determine variables that cause multi-colinearity issues and should be excluded from the models
Date Sat, 08 Sep 2012 22:36:07 GMT

    [ https://issues.apache.org/jira/browse/MATH-857?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13451425#comment-13451425
] 

Phil Steitz commented on MATH-857:
----------------------------------

In general, we don't like to add @author tags or to embed individual copyright notices in
the code.  Are you OK removing the copyright notice from the source file?  If we end up committing
something based on this, we will include you in our contributors file.

It would also make it a little easier on us in reviewing and applying your contributions if
you could create them using "svn diff" against a checkout of the current source code.  Also,
as noted on the mailing list, running the checkstyle checks and fixing the formatting problems
will speed things up.

You can also delete obsolete attachments from this ticket so we don't get confused about what
the most recent patch is.

Thanks!
                
> Include a VIF and TOLERANCE check for a 2 dimensional double array, 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
>         Environment: can apply to all operating systems
>            Reporter: Marios Michaelidis
>            Priority: Minor
>              Labels: build, test
>             Fix For: 3.1
>
>         Attachments: FOR TOLERANCE.rar, Multicolinearity.java, VIF_Tolerance.txt
>
>   Original Estimate: 48h
>  Remaining Estimate: 48h
>
> 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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