/* PSPP - a program for statistical analysis.
- Copyright (C) 2005 Free Software Foundation, Inc.
+ Copyright (C) 2005, 2010 Free Software Foundation, Inc.
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
#include <gsl/gsl_multifit.h>
#include <linreg/sweep.h>
#include <math/linreg.h>
-#include <src/data/category.h>
#include <src/data/variable.h>
#include <src/data/value.h>
#include <gl/xalloc.h>
double n, size_t p)
{
linreg *c;
+ size_t i;
- c = xmalloc (sizeof (linreg));
+ c = xmalloc (sizeof (*c));
c->depvar = depvar;
- c->indep_vars = indep_vars;
+ c->indep_vars = xnmalloc (p, sizeof (*indep_vars));
+ c->dependent_column = p;
+ for (i = 0; i < p; i++)
+ {
+ c->indep_vars[i] = indep_vars[i];
+ }
c->indep_means = gsl_vector_alloc (p);
c->indep_std = gsl_vector_alloc (p);
- c->ssx = gsl_vector_alloc (p); /* Sums of squares for the
- independent variables.
- */
+
c->ss_indeps = gsl_vector_alloc (p); /* Sums of squares for the
model parameters.
*/
c->n_indeps = p;
c->n_coeffs = p;
c->coeff = xnmalloc (p, sizeof (*c->coeff));
- c->cov = gsl_matrix_alloc (c->n_coeffs + 1, c->n_coeffs + 1);
+ c->cov = gsl_matrix_calloc (c->n_coeffs + 1, c->n_coeffs + 1);
c->dft = n - 1;
c->dfm = p;
c->dfe = c->dft - c->dfm;
c->intercept = 0.0;
+ c->depvar_mean = 0.0;
+ c->depvar_std = 0.0;
/*
Default settings.
*/
c->method = LINREG_SWEEP;
- c->resid = NULL; /* The variable storing my residuals. */
- c->pred = NULL; /* The variable storing my predicted values. */
+ c->pred = NULL;
+ c->resid = NULL;
return c;
}
gsl_vector_free (c->indep_means);
gsl_vector_free (c->indep_std);
gsl_matrix_free (c->cov);
- gsl_vector_free (c->ssx);
+ free (c->indep_vars);
free (c->coeff);
free (c);
}
static void
linreg_fit_qr (const gsl_matrix *cov, linreg *l)
{
+ double intcpt_coef = 0.0;
+ double intercept_variance = 0.0;
gsl_matrix *xtx;
gsl_matrix *q;
gsl_matrix *r;
gsl_linalg_QR_decomp (xtx, tau);
q = gsl_matrix_alloc (xtx->size1, xtx->size2);
r = gsl_matrix_alloc (xtx->size1, xtx->size2);
+
gsl_linalg_QR_unpack (xtx, tau, q, r);
gsl_linalg_QR_solve (xtx, tau, xty, params);
for (i = 0; i < params->size; i++)
{
l->coeff[i] = gsl_vector_get (params, i);
}
-
- l->intercept = l->depvar_mean;
+ l->sst = gsl_matrix_get (cov, cov->size1 - 1, cov->size2 - 1);
+ l->ssm = 0.0;
for (i = 0; i < l->n_indeps; i++)
{
- l->intercept -= l->coeff[i] * linreg_get_indep_variable_mean (l, i);
+ l->ssm += gsl_vector_get (xty, i) * l->coeff[i];
}
+ l->sse = l->sst - l->ssm;
- l->sse = gsl_matrix_get (cov, cov->size1 - 1, cov->size2 - 1);
- for (i = 0; i < l->n_indeps; i++)
+ gsl_blas_dtrsm (CblasLeft, CblasLower, CblasNoTrans, CblasNonUnit, linreg_mse (l),
+ r, q);
+ /* Copy the lower triangle into the upper triangle. */
+ for (i = 0; i < q->size1; i++)
{
- tmp += gsl_vector_get (xty, i) * l->coeff[i];
- }
- l->sse -= 2.0 * tmp;
- for (i = 0; i < xtx->size1; i++)
- {
- tmp = 0.0;
- for (j = i; j < xtx->size2; j++)
+ gsl_matrix_set (l->cov, i + 1, i + 1, gsl_matrix_get (q, i, i));
+ for (j = i + 1; j < q->size2; j++)
{
- tmp += gsl_matrix_get (xtx, i, j) * l->coeff[j];
+ intercept_variance -= 2.0 * gsl_matrix_get (q, i, j) *
+ linreg_get_indep_variable_mean (l, i) *
+ linreg_get_indep_variable_mean (l, j);
+ gsl_matrix_set (q, i, j, gsl_matrix_get (q, j, i));
}
- l->sse += tmp * tmp;
+ }
+ l->intercept = linreg_get_depvar_mean (l);
+ tmp = 0.0;
+ for (i = 0; i < l->n_indeps; i++)
+ {
+ tmp = linreg_get_indep_variable_mean (l, i);
+ l->intercept -= l->coeff[i] * tmp;
+ intercept_variance += tmp * tmp * gsl_matrix_get (q, i, i);
}
-#if 0
- p = l->hat->size1 - 1;
- for (i = 0; i < l->cov->size1 - 1; i++)
+ /* Covariances related to the intercept. */
+ intercept_variance += linreg_mse (l) / linreg_n_obs (l);
+ gsl_matrix_set (l->cov, 0, 0, intercept_variance);
+ for (i = 0; i < q->size1; i++)
{
- gsl_matrix_set (l->cov, p - i, p - i, 1.0 / gsl_matrix_get (r, p - i, p - i));
- for (j = 0; j < i; j++)
+ for (j = 0; j < q->size2; j++)
{
- tmp = -1.0 * gsl_matrix_get (r, p - i, p - j);
- tmp /= gsl_matrix_get (r, p - i, p - i) * gsl_matrix_get (r, p - j, p - j);
- gsl_matrix_set (l->cov, p - i, p - j, tmp);
+ intcpt_coef -= gsl_matrix_get (q, i, j)
+ * linreg_get_indep_variable_mean (l, j);
}
+ gsl_matrix_set (l->cov, 0, i + 1, intcpt_coef);
+ gsl_matrix_set (l->cov, i + 1, 0, intcpt_coef);
+ intcpt_coef = 0.0;
}
-#endif
- gsl_matrix_transpose_memcpy (l->cov, q);
- gsl_blas_dtrsm (CblasLeft, CblasUpper, CblasNoTrans, CblasNonUnit, 1.0,
- r, l->cov);
-
+
gsl_matrix_free (q);
gsl_matrix_free (r);
gsl_vector_free (xty);
void
linreg_fit (const gsl_matrix *cov, linreg *l)
{
- gsl_matrix *params;
assert (l != NULL);
assert (cov != NULL);
- params = gsl_matrix_calloc (cov->size1, cov->size2);
- gsl_matrix_memcpy (params, cov);
-
+ l->sst = gsl_matrix_get (cov, cov->size1 - 1, cov->size2 - 1);
if (l->method == LINREG_SWEEP)
{
- reg_sweep (params);
+ gsl_matrix *params;
+ params = gsl_matrix_calloc (cov->size1, cov->size2);
+ gsl_matrix_memcpy (params, cov);
+ reg_sweep (params, l->dependent_column);
post_sweep_computations (l, params);
+ gsl_matrix_free (params);
}
else if (l->method == LINREG_QR)
{
- linreg_fit_qr (params, l);
+ linreg_fit_qr (cov, l);
}
- gsl_matrix_free (params);
}
double linreg_mse (const linreg *c)
return c->n_coeffs;
}
-size_t
+double
linreg_n_obs (const linreg *c)
{
return c->n_obs;
}
+double
+linreg_sse (const linreg *c)
+{
+ return c->sse;
+}
+
double
linreg_ssreg (const linreg *c)
{
- return c->ssm;
+ return (c->sst - c->sse);
+}
+
+double linreg_sst (const linreg *c)
+{
+ return c->sst;
}
double
{
return c->dfm;
}
+
+void
+linreg_set_depvar_mean (linreg *c, double x)
+{
+ c->depvar_mean = x;
+}
+
+double
+linreg_get_depvar_mean (linreg *c)
+{
+ return c->depvar_mean;
+}
projects / pspp / blobdiff