1 /* PSPP - linear regression.
2 Copyright (C) 2005 Free Software Foundation, Inc.
3 Written by Jason H Stover <jason@sakla.net>.
5 This program is free software; you can redistribute it and/or
6 modify it under the terms of the GNU General Public License as
7 published by the Free Software Foundation; either version 2 of the
8 License, or (at your option) any later version.
10 This program is distributed in the hope that it will be useful, but
11 WITHOUT ANY WARRANTY; without even the implied warranty of
12 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
13 General Public License for more details.
15 You should have received a copy of the GNU General Public License
16 along with this program; if not, write to the Free Software
17 Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
22 #include <gsl/gsl_cdf.h>
23 #include <gsl/gsl_vector.h>
24 #include <gsl/gsl_matrix.h>
29 #include "cat-routines.h"
31 #include "design-matrix.h"
32 #include "dictionary.h"
34 #include "file-handle.h"
37 #include <linreg/pspp_linreg.h>
38 #include "missing-values.h"
39 #include "reg_export_comments.h"
44 #define REG_LARGE_DATA 1000
49 "REGRESSION" (regression_):
74 static struct cmd_regression cmd;
77 Array holding the subscripts of the independent variables.
82 File where the model will be saved if the EXPORT subcommand
85 struct file_handle *model_file;
88 Return value for the procedure.
90 int pspp_reg_rc = CMD_SUCCESS;
92 static void run_regression (const struct casefile *, void *);
94 STATISTICS subcommand output functions.
96 static void reg_stats_r (pspp_linreg_cache *);
97 static void reg_stats_coeff (pspp_linreg_cache *);
98 static void reg_stats_anova (pspp_linreg_cache *);
99 static void reg_stats_outs (pspp_linreg_cache *);
100 static void reg_stats_zpp (pspp_linreg_cache *);
101 static void reg_stats_label (pspp_linreg_cache *);
102 static void reg_stats_sha (pspp_linreg_cache *);
103 static void reg_stats_ci (pspp_linreg_cache *);
104 static void reg_stats_f (pspp_linreg_cache *);
105 static void reg_stats_bcov (pspp_linreg_cache *);
106 static void reg_stats_ses (pspp_linreg_cache *);
107 static void reg_stats_xtx (pspp_linreg_cache *);
108 static void reg_stats_collin (pspp_linreg_cache *);
109 static void reg_stats_tol (pspp_linreg_cache *);
110 static void reg_stats_selection (pspp_linreg_cache *);
111 static void statistics_keyword_output (void (*)(pspp_linreg_cache *),
112 int, pspp_linreg_cache *);
115 reg_stats_r (pspp_linreg_cache * c)
125 rsq = c->ssm / c->sst;
126 adjrsq = 1.0 - (1.0 - rsq) * (c->n_obs - 1.0) / (c->n_obs - c->n_indeps);
127 std_error = sqrt ((c->n_indeps - 1.0) / (c->n_obs - 1.0));
128 t = tab_create (n_cols, n_rows, 0);
129 tab_dim (t, tab_natural_dimensions);
130 tab_box (t, TAL_2, TAL_2, -1, TAL_1, 0, 0, n_cols - 1, n_rows - 1);
131 tab_hline (t, TAL_2, 0, n_cols - 1, 1);
132 tab_vline (t, TAL_2, 2, 0, n_rows - 1);
133 tab_vline (t, TAL_0, 1, 0, 0);
135 tab_text (t, 1, 0, TAB_CENTER | TAT_TITLE, _("R"));
136 tab_text (t, 2, 0, TAB_CENTER | TAT_TITLE, _("R Square"));
137 tab_text (t, 3, 0, TAB_CENTER | TAT_TITLE, _("Adjusted R Square"));
138 tab_text (t, 4, 0, TAB_CENTER | TAT_TITLE, _("Std. Error of the Estimate"));
139 tab_float (t, 1, 1, TAB_RIGHT, sqrt (rsq), 10, 2);
140 tab_float (t, 2, 1, TAB_RIGHT, rsq, 10, 2);
141 tab_float (t, 3, 1, TAB_RIGHT, adjrsq, 10, 2);
142 tab_float (t, 4, 1, TAB_RIGHT, std_error, 10, 2);
143 tab_title (t, 0, _("Model Summary"));
148 Table showing estimated regression coefficients.
151 reg_stats_coeff (pspp_linreg_cache * c)
166 n_rows = c->n_coeffs + 2;
168 t = tab_create (n_cols, n_rows, 0);
169 tab_headers (t, 2, 0, 1, 0);
170 tab_dim (t, tab_natural_dimensions);
171 tab_box (t, TAL_2, TAL_2, -1, TAL_1, 0, 0, n_cols - 1, n_rows - 1);
172 tab_hline (t, TAL_2, 0, n_cols - 1, 1);
173 tab_vline (t, TAL_2, 2, 0, n_rows - 1);
174 tab_vline (t, TAL_0, 1, 0, 0);
176 tab_text (t, 2, 0, TAB_CENTER | TAT_TITLE, _("B"));
177 tab_text (t, 3, 0, TAB_CENTER | TAT_TITLE, _("Std. Error"));
178 tab_text (t, 4, 0, TAB_CENTER | TAT_TITLE, _("Beta"));
179 tab_text (t, 5, 0, TAB_CENTER | TAT_TITLE, _("t"));
180 tab_text (t, 6, 0, TAB_CENTER | TAT_TITLE, _("Significance"));
181 tab_text (t, 1, 1, TAB_LEFT | TAT_TITLE, _("(Constant)"));
182 coeff = c->coeff[0].estimate;
183 tab_float (t, 2, 1, 0, coeff, 10, 2);
184 std_err = sqrt (gsl_matrix_get (c->cov, 0, 0));
185 tab_float (t, 3, 1, 0, std_err, 10, 2);
186 beta = coeff / c->depvar_std;
187 tab_float (t, 4, 1, 0, beta, 10, 2);
188 t_stat = coeff / std_err;
189 tab_float (t, 5, 1, 0, t_stat, 10, 2);
190 pval = 2 * gsl_cdf_tdist_Q (fabs (t_stat), 1.0);
191 tab_float (t, 6, 1, 0, pval, 10, 2);
192 for (j = 1; j <= c->n_indeps; j++)
195 label = var_to_string (c->coeff[j].v);
196 tab_text (t, 1, j + 1, TAB_CENTER, label);
198 Regression coefficients.
200 coeff = c->coeff[j].estimate;
201 tab_float (t, 2, j + 1, 0, coeff, 10, 2);
203 Standard error of the coefficients.
205 std_err = sqrt (gsl_matrix_get (c->cov, j, j));
206 tab_float (t, 3, j + 1, 0, std_err, 10, 2);
208 'Standardized' coefficient, i.e., regression coefficient
209 if all variables had unit variance.
211 beta = gsl_vector_get (c->indep_std, j);
212 beta *= coeff / c->depvar_std;
213 tab_float (t, 4, j + 1, 0, beta, 10, 2);
216 Test statistic for H0: coefficient is 0.
218 t_stat = coeff / std_err;
219 tab_float (t, 5, j + 1, 0, t_stat, 10, 2);
221 P values for the test statistic above.
223 pval = 2 * gsl_cdf_tdist_Q (fabs (t_stat), 1.0);
224 tab_float (t, 6, j + 1, 0, pval, 10, 2);
226 tab_title (t, 0, _("Coefficients"));
231 Display the ANOVA table.
234 reg_stats_anova (pspp_linreg_cache * c)
238 const double msm = c->ssm / c->dfm;
239 const double mse = c->sse / c->dfe;
240 const double F = msm / mse;
241 const double pval = gsl_cdf_fdist_Q (F, c->dfm, c->dfe);
246 t = tab_create (n_cols, n_rows, 0);
247 tab_headers (t, 2, 0, 1, 0);
248 tab_dim (t, tab_natural_dimensions);
250 tab_box (t, TAL_2, TAL_2, -1, TAL_1, 0, 0, n_cols - 1, n_rows - 1);
252 tab_hline (t, TAL_2, 0, n_cols - 1, 1);
253 tab_vline (t, TAL_2, 2, 0, n_rows - 1);
254 tab_vline (t, TAL_0, 1, 0, 0);
256 tab_text (t, 2, 0, TAB_CENTER | TAT_TITLE, _("Sum of Squares"));
257 tab_text (t, 3, 0, TAB_CENTER | TAT_TITLE, _("df"));
258 tab_text (t, 4, 0, TAB_CENTER | TAT_TITLE, _("Mean Square"));
259 tab_text (t, 5, 0, TAB_CENTER | TAT_TITLE, _("F"));
260 tab_text (t, 6, 0, TAB_CENTER | TAT_TITLE, _("Significance"));
262 tab_text (t, 1, 1, TAB_LEFT | TAT_TITLE, _("Regression"));
263 tab_text (t, 1, 2, TAB_LEFT | TAT_TITLE, _("Residual"));
264 tab_text (t, 1, 3, TAB_LEFT | TAT_TITLE, _("Total"));
266 /* Sums of Squares */
267 tab_float (t, 2, 1, 0, c->ssm, 10, 2);
268 tab_float (t, 2, 3, 0, c->sst, 10, 2);
269 tab_float (t, 2, 2, 0, c->sse, 10, 2);
272 /* Degrees of freedom */
273 tab_float (t, 3, 1, 0, c->dfm, 4, 0);
274 tab_float (t, 3, 2, 0, c->dfe, 4, 0);
275 tab_float (t, 3, 3, 0, c->dft, 4, 0);
279 tab_float (t, 4, 1, TAB_RIGHT, msm, 8, 3);
280 tab_float (t, 4, 2, TAB_RIGHT, mse, 8, 3);
282 tab_float (t, 5, 1, 0, F, 8, 3);
284 tab_float (t, 6, 1, 0, pval, 8, 3);
286 tab_title (t, 0, _("ANOVA"));
290 reg_stats_outs (pspp_linreg_cache * c)
295 reg_stats_zpp (pspp_linreg_cache * c)
300 reg_stats_label (pspp_linreg_cache * c)
305 reg_stats_sha (pspp_linreg_cache * c)
310 reg_stats_ci (pspp_linreg_cache * c)
315 reg_stats_f (pspp_linreg_cache * c)
320 reg_stats_bcov (pspp_linreg_cache * c)
333 n_cols = c->n_indeps + 1 + 2;
334 n_rows = 2 * (c->n_indeps + 1);
335 t = tab_create (n_cols, n_rows, 0);
336 tab_headers (t, 2, 0, 1, 0);
337 tab_dim (t, tab_natural_dimensions);
338 tab_box (t, TAL_2, TAL_2, -1, TAL_1, 0, 0, n_cols - 1, n_rows - 1);
339 tab_hline (t, TAL_2, 0, n_cols - 1, 1);
340 tab_vline (t, TAL_2, 2, 0, n_rows - 1);
341 tab_vline (t, TAL_0, 1, 0, 0);
342 tab_text (t, 0, 0, TAB_CENTER | TAT_TITLE, _("Model"));
343 tab_text (t, 1, 1, TAB_CENTER | TAT_TITLE, _("Covariances"));
344 for (i = 1; i < c->n_indeps + 1; i++)
346 j = indep_vars[(i - 1)];
347 struct variable *v = cmd.v_variables[j];
348 label = var_to_string (v);
349 tab_text (t, 2, i, TAB_CENTER, label);
350 tab_text (t, i + 2, 0, TAB_CENTER, label);
351 for (k = 1; k < c->n_indeps + 1; k++)
353 col = (i <= k) ? k : i;
354 row = (i <= k) ? i : k;
355 tab_float (t, k + 2, i, TAB_CENTER,
356 gsl_matrix_get (c->cov, row, col), 8, 3);
359 tab_title (t, 0, _("Coefficient Correlations"));
363 reg_stats_ses (pspp_linreg_cache * c)
368 reg_stats_xtx (pspp_linreg_cache * c)
373 reg_stats_collin (pspp_linreg_cache * c)
378 reg_stats_tol (pspp_linreg_cache * c)
383 reg_stats_selection (pspp_linreg_cache * c)
389 statistics_keyword_output (void (*function) (pspp_linreg_cache *),
390 int keyword, pspp_linreg_cache * c)
399 subcommand_statistics (int *keywords, pspp_linreg_cache * c)
402 The order here must match the order in which the STATISTICS
403 keywords appear in the specification section above.
430 Set everything but F.
432 for (i = 0; i < f; i++)
439 for (i = 0; i < all; i++)
447 Default output: ANOVA table, parameter estimates,
448 and statistics for variables not entered into model,
451 if (keywords[defaults] | d)
459 statistics_keyword_output (reg_stats_r, keywords[r], c);
460 statistics_keyword_output (reg_stats_anova, keywords[anova], c);
461 statistics_keyword_output (reg_stats_coeff, keywords[coeff], c);
462 statistics_keyword_output (reg_stats_outs, keywords[outs], c);
463 statistics_keyword_output (reg_stats_zpp, keywords[zpp], c);
464 statistics_keyword_output (reg_stats_label, keywords[label], c);
465 statistics_keyword_output (reg_stats_sha, keywords[sha], c);
466 statistics_keyword_output (reg_stats_ci, keywords[ci], c);
467 statistics_keyword_output (reg_stats_f, keywords[f], c);
468 statistics_keyword_output (reg_stats_bcov, keywords[bcov], c);
469 statistics_keyword_output (reg_stats_ses, keywords[ses], c);
470 statistics_keyword_output (reg_stats_xtx, keywords[xtx], c);
471 statistics_keyword_output (reg_stats_collin, keywords[collin], c);
472 statistics_keyword_output (reg_stats_tol, keywords[tol], c);
473 statistics_keyword_output (reg_stats_selection, keywords[selection], c);
476 reg_print_depvars (FILE *fp, pspp_linreg_cache *c)
479 struct pspp_linreg_coeff coeff;
481 fprintf (fp, "char *model_depvars[%d] = {", c->n_indeps);
482 for (i = 1; i < c->n_indeps; i++)
485 fprintf (fp, "\"%s\",\n\t\t", coeff.v->name);
488 fprintf (fp, "\"%s\"};\n\t", coeff.v->name);
491 reg_print_getvar (FILE *fp, pspp_linreg_cache *c)
493 fprintf (fp, "static int\npspp_reg_getvar (char *v_name)\n{\n\t");
494 fprintf (fp, "int i;\n\tint n_vars = %d;\n\t",c->n_indeps);
495 reg_print_depvars (fp, c);
496 fprintf (fp, "for (i = 0; i < n_vars; i++)\n\t{\n\t\t");
497 fprintf (fp, "if (strcmp (v_name, model_depvars[i]) == 0)\n\t\t{\n\t\t\t");
498 fprintf (fp, "return i;\n\t\t}\n\t}\n}\n");
501 subcommand_export (int export, pspp_linreg_cache *c)
505 struct pspp_linreg_coeff coeff;
510 assert (model_file != NULL);
512 fp = fopen (handle_get_filename (model_file), "w");
513 fprintf (fp, "%s", reg_preamble);
514 fprintf (fp, "#include <string.h>\n\n");
515 reg_print_getvar (fp, c);
516 fprintf (fp, "%s", reg_mean_cmt);
517 fprintf (fp, "double\npspp_reg_estimate (const double *var_vals,");
518 fprintf (fp, "const char *var_names[])\n{\n\t");
519 fprintf (fp, "double model_coeffs[%d] = {", c->n_indeps);
520 for (i = 1; i < c->n_indeps; i++)
523 fprintf (fp, "%.15e,\n\t\t", coeff.estimate);
526 fprintf (fp, "%.15e};\n\t", coeff.estimate);
528 fprintf (fp, "double estimate = %.15e;\n\t", coeff.estimate);
529 fprintf (fp, "int i;\n\tint j;\n\n\t");
530 fprintf (fp, "for (i = 0; i < %d; i++)\n\t", c->n_indeps);
531 fprintf (fp, "{\n\t\tj = pspp_reg_getvar (var_names[i]);\n");
532 fprintf (fp, "\t\testimate += var_vals[j] * model_coeffs[j];\n");
533 fprintf (fp, "\t}\n\t\n\treturn estimate;\n}\n\n");
534 fprintf (fp, "double\npspp_reg_standard_error (const double *var_vals,");
535 fprintf (fp, "const char *var_names[])\n{\n\t");
540 regression_custom_export (struct cmd_regression *cmd)
542 /* 0 on failure, 1 on success, 2 on failure that should result in syntax error */
543 if (!lex_force_match ('('))
550 model_file = fh_parse ();
551 if (model_file == NULL)
555 if (!lex_force_match (')'))
562 cmd_regression (void)
564 if (!parse_regression (&cmd))
568 multipass_procedure_with_splits (run_regression, &cmd);
574 Is variable k one of the dependent variables?
580 for (j = 0; j < cmd.n_dependent; j++)
583 compare_var_names returns 0 if the variable
586 if (!compare_var_names (cmd.v_dependent[j], cmd.v_variables[k], NULL))
593 run_regression (const struct casefile *cf, void *cmd_ UNUSED)
602 Keep track of the missing cases.
604 int *is_missing_case;
605 const union value *val;
606 struct casereader *r;
607 struct casereader *r2;
610 struct variable **indep_vars;
611 struct design_matrix *X;
613 pspp_linreg_cache *lcache;
614 pspp_linreg_opts lopts;
616 n_data = casefile_get_case_cnt (cf);
618 is_missing_case = xnmalloc (n_data, sizeof (*is_missing_case));
619 for (i = 0; i < n_data; i++)
620 is_missing_case[i] = 0;
622 n_indep = cmd.n_variables - cmd.n_dependent;
623 indep_vars = xnmalloc (n_indep, sizeof *indep_vars);
625 lopts.get_depvar_mean_std = 1;
626 lopts.get_indep_mean_std = xnmalloc (n_indep, sizeof (int));
630 Read from the active file. The first pass encodes categorical
631 variables and drops cases with missing values.
634 for (i = 0; i < cmd.n_variables; i++)
638 v = cmd.v_variables[i];
641 if (v->type == ALPHA)
643 /* Make a place to hold the binary vectors
644 corresponding to this variable's values. */
645 cat_stored_values_create (v);
647 for (r = casefile_get_reader (cf);
648 casereader_read (r, &c); case_destroy (&c))
650 row = casereader_cnum (r) - 1;
652 val = case_data (&c, v->fv);
653 cat_value_update (v, val);
654 if (mv_is_value_missing (&v->miss, val))
656 if (!is_missing_case[row])
658 /* Now it is missing. */
660 is_missing_case[row] = 1;
667 Y = gsl_vector_alloc (n_data);
669 design_matrix_create (n_indep, (const struct variable **) indep_vars,
671 lcache = pspp_linreg_cache_alloc (X->m->size1, X->m->size2);
672 lcache->indep_means = gsl_vector_alloc (X->m->size2);
673 lcache->indep_std = gsl_vector_alloc (X->m->size2);
676 The second pass creates the design matrix.
679 for (r2 = casefile_get_reader (cf); casereader_read (r2, &c);
681 /* Iterate over the cases. */
683 case_num = casereader_cnum (r2) - 1;
684 if (!is_missing_case[case_num])
686 for (i = 0; i < cmd.n_variables; ++i) /* Iterate over the variables
687 for the current case.
690 v = cmd.v_variables[i];
691 val = case_data (&c, v->fv);
693 Independent/dependent variable separation. The
694 'variables' subcommand specifies a varlist which contains
695 both dependent and independent variables. The dependent
696 variables are specified with the 'dependent'
697 subcommand. We need to separate the two.
701 if (v->type != NUMERIC)
704 gettext ("Dependent variable must be numeric."));
705 pspp_reg_rc = CMD_FAILURE;
708 lcache->depvar = (const struct variable *) v;
709 gsl_vector_set (Y, row, val->f);
713 if (v->type == ALPHA)
715 design_matrix_set_categorical (X, row, v, val);
717 else if (v->type == NUMERIC)
719 design_matrix_set_numeric (X, row, v, val);
722 lopts.get_indep_mean_std[i] = 1;
729 Now that we know the number of coefficients, allocate space
730 and store pointers to the variables that correspond to the
733 lcache->coeff = xnmalloc (X->m->size2 + 1, sizeof (*lcache->coeff));
734 for (i = 0; i < X->m->size2; i++)
736 j = i + 1; /* The first coeff is the intercept. */
738 (const struct variable *) design_matrix_col_to_var (X, i);
739 assert (lcache->coeff[j].v != NULL);
742 For large data sets, use QR decomposition.
744 if (n_data > sqrt (n_indep) && n_data > REG_LARGE_DATA)
746 lcache->method = PSPP_LINREG_SVD;
749 Find the least-squares estimates and other statistics.
751 pspp_linreg ((const gsl_vector *) Y, X->m, &lopts, lcache);
752 subcommand_statistics (cmd.a_statistics, lcache);
753 subcommand_export (cmd.sbc_export, lcache);
755 design_matrix_destroy (X);
756 pspp_linreg_cache_free (lcache);
757 free (lopts.get_indep_mean_std);
759 free (is_missing_case);
760 casereader_destroy (r);