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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Updated] (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 Sun, 17 Mar 2013 17:37:14 GMT

     [ https://issues.apache.org/jira/browse/MATH-857?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Phil Steitz updated MATH-857:
-----------------------------

    Fix Version/s:     (was: 3.2)
                   4.0

Absent further patches, pushing this to 4.0.
                
> 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: 4.0
>
>         Attachments: FOR TOLERANCE.rar, Multicolinearity.java
>
>   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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