+++ /dev/null
-/* lib/linreg/pspp_linreg.h
-
- Copyright (C) 2005 Free Software Foundation, Inc.
- Written by Jason H Stover.
-
- This program is free software; you can redistribute it and/or modify
- it under the terms of the GNU General Public License as published by
- the Free Software Foundation; either version 2 of the License, or (at
- your option) any later version.
-
- This program is distributed in the hope that it will be useful, but
- WITHOUT ANY WARRANTY; without even the implied warranty of
- MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
- General Public License for more details.
-
- You should have received a copy of the GNU General Public License
- along with this program; if not, write to the Free Software
- Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
- 02111-1307, USA.
- */
-
-/*
- Find the least-squares estimate of b for the linear model:
-
- Y = Xb + Z
-
- where Y is an n-by-1 column vector, X is an n-by-p matrix of
- independent variables, b is a p-by-1 vector of regression coefficients,
- and Z is an n-by-1 normally-distributed random vector with independent
- identically distributed components with mean 0.
-
- This estimate is found via the sweep operator or singular-value
- decomposition.
-
-
- References:
-
- Matrix Computations, third edition. GH Golub and CF Van Loan.
- The Johns Hopkins University Press. 1996. ISBN 0-8018-5414-8.
-
- Numerical Analysis for Statisticians. K Lange. Springer. 1999.
- ISBN 0-387-94979-8.
-
- Numerical Linear Algebra for Applications in Statistics. JE Gentle.
- Springer. 1998. ISBN 0-387-98542-5.
- */
-#ifndef PSPP_LINREG_H
-#define PSPP_LINREG_H 1
-#include <gsl/gsl_vector.h>
-#include <gsl/gsl_matrix.h>
-#include <gsl/gsl_math.h>
-#include <gsl/gsl_errno.h>
-#include <gsl/gsl_fit.h>
-#include <gsl/gsl_multifit.h>
-#include <gsl/gsl_blas.h>
-#include <gsl/gsl_cblas.h>
-#include <src/design-matrix.h>
-#include <src/var.h>
-#define PSPP_LINREG_VAL_NOT_FOUND -1
-enum
-{
- PSPP_LINREG_SWEEP,
- PSPP_LINREG_SVD
-};
-
-/*
- Cache for the relevant data from the model. There are several
- members which the caller might not use, and which could use a lot of
- storage. Therefore non-essential members of the struct will be
- allocated only when requested.
- */
-struct pspp_linreg_coeff
-{
- double estimate; /* Estimated coefficient. */
- double std_err; /* Standard error of the estimate. */
- struct varinfo *v_info; /* Information pertaining to the
- variable(s) associated with this
- coefficient. The calling function
- should initialize this value with the
- functions in coefficient.c. The
- estimation procedure ignores this
- member. It is here so the caller can
- match parameters with relevant variables
- and values. If the coefficient is
- associated with an interaction, then
- v_info contains information for multiple
- variables.
- */
- int n_vars; /* Number of variables associated with this coefficient.
- Coefficients corresponding to interaction terms will
- have more than one variable.
- */
-};
-struct pspp_linreg_cache_struct
-{
- int n_obs; /* Number of observations. */
- int n_indeps; /* Number of independent variables. */
- int n_coeffs;
-
- /*
- The variable struct is ignored during estimation.
- It is here so the calling procedure can
- find the variable used in the model.
- */
- const struct variable *depvar;
-
- gsl_vector *residuals;
- struct pspp_linreg_coeff *coeff;
- int method; /* Method to use to estimate parameters. */
- /*
- Means and standard deviations of the variables.
- If these pointers are null when pspp_linreg() is
- called, pspp_linreg() will compute their values.
-
- Entry i of indep_means is the mean of independent
- variable i, whose observations are stored in the ith
- column of the design matrix.
- */
- double depvar_mean;
- double depvar_std;
- gsl_vector *indep_means;
- gsl_vector *indep_std;
-
- /*
- Sums of squares.
- */
- double ssm; /* Sums of squares for the overall model. */
- gsl_vector *ss_indeps; /* Sums of squares from each
- independent variable.
- */
- double sst; /* Sum of squares total. */
- double sse; /* Sum of squares error. */
- double mse; /* Mean squared error. This is just sse / dfe, but
- since it is the best unbiased estimate of the population
- variance, it has its own entry here.
- */
- gsl_vector *ssx; /* Centered sums of squares for independent variables,
- i.e. \sum (x[i] - mean(x))^2.
- */
- double ssy; /* Centered sums of squares for dependent variable. */
- /*
- Covariance matrix of the parameter estimates.
- */
- gsl_matrix *cov;
- /*
- Degrees of freedom.
- */
- double dft;
- double dfe;
- double dfm;
-
- /*
- 'Hat' or Hessian matrix, i.e. (X'X)^{-1}, where X is our
- design matrix.
- */
- gsl_matrix *hat;
-};
-typedef struct pspp_linreg_cache_struct pspp_linreg_cache;
-
-/*
- Options describing what special values should be computed.
- */
-struct pspp_linreg_opts_struct
-{
- int resid; /* Should the residuals be returned? */
-
- int get_depvar_mean_std;
- int *get_indep_mean_std; /* Array of booleans dictating which
- independent variables need their means
- and standard deviations computed within
- pspp_linreg. This array MUST be of
- length n_indeps. If element i is 1,
- pspp_linreg will compute the mean and
- variance of indpendent variable i. If
- element i is 0, it will not compute the
- mean and standard deviation, and assume
- the values are stored.
- cache->indep_mean[i] is the mean and
- cache->indep_std[i] is the sample
- standard deviation.
- */
-};
-typedef struct pspp_linreg_opts_struct pspp_linreg_opts;
-
-int pspp_reg_sweep (gsl_matrix * A);
-
-pspp_linreg_cache *pspp_linreg_cache_alloc (size_t n, size_t p);
-
-void pspp_linreg_cache_free (pspp_linreg_cache * cache);
-
-int pspp_linreg (const gsl_vector * Y, const gsl_matrix * X,
- const pspp_linreg_opts * opts, pspp_linreg_cache * cache);
-void pspp_linreg_coeff_init (pspp_linreg_cache *, struct design_matrix *);
-
-void pspp_linreg_coeff_free (struct pspp_linreg_coeff *);
-
-void pspp_linreg_coeff_set_estimate (struct pspp_linreg_coeff *, double);
-
-void pspp_linreg_coeff_set_std_err (struct pspp_linreg_coeff *, double);
-
-int pspp_linreg_coeff_get_n_vars (struct pspp_linreg_coeff *);
-
-const struct variable *pspp_linreg_coeff_get_var (struct pspp_linreg_coeff *, int);
-
-const union value *pspp_linreg_coeff_get_value (struct pspp_linreg_coeff *, const struct variable *);
-#endif
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