|
|
Java example source code file (RegressionResults.java)
This example Java source code file (RegressionResults.java) is included in the alvinalexander.com
"Java Source Code
Warehouse" project. The intent of this project is to help you "Learn
Java by Example" TM.
Learn more about this Java project at its project page.
The RegressionResults.java Java example source code
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math3.stat.regression;
import java.io.Serializable;
import java.util.Arrays;
import org.apache.commons.math3.util.FastMath;
import org.apache.commons.math3.util.MathArrays;
import org.apache.commons.math3.exception.OutOfRangeException;
/**
* Results of a Multiple Linear Regression model fit.
*
* @since 3.0
*/
public class RegressionResults implements Serializable {
/** INDEX of Sum of Squared Errors */
private static final int SSE_IDX = 0;
/** INDEX of Sum of Squares of Model */
private static final int SST_IDX = 1;
/** INDEX of R-Squared of regression */
private static final int RSQ_IDX = 2;
/** INDEX of Mean Squared Error */
private static final int MSE_IDX = 3;
/** INDEX of Adjusted R Squared */
private static final int ADJRSQ_IDX = 4;
/** UID */
private static final long serialVersionUID = 1l;
/** regression slope parameters */
private final double[] parameters;
/** variance covariance matrix of parameters */
private final double[][] varCovData;
/** boolean flag for variance covariance matrix in symm compressed storage */
private final boolean isSymmetricVCD;
/** rank of the solution */
@SuppressWarnings("unused")
private final int rank;
/** number of observations on which results are based */
private final long nobs;
/** boolean flag indicator of whether a constant was included*/
private final boolean containsConstant;
/** array storing global results, SSE, MSE, RSQ, adjRSQ */
private final double[] globalFitInfo;
/**
* Set the default constructor to private access
* to prevent inadvertent instantiation
*/
@SuppressWarnings("unused")
private RegressionResults() {
this.parameters = null;
this.varCovData = null;
this.rank = -1;
this.nobs = -1;
this.containsConstant = false;
this.isSymmetricVCD = false;
this.globalFitInfo = null;
}
/**
* Constructor for Regression Results.
*
* @param parameters a double array with the regression slope estimates
* @param varcov the variance covariance matrix, stored either in a square matrix
* or as a compressed
* @param isSymmetricCompressed a flag which denotes that the variance covariance
* matrix is in symmetric compressed format
* @param nobs the number of observations of the regression estimation
* @param rank the number of independent variables in the regression
* @param sumy the sum of the independent variable
* @param sumysq the sum of the squared independent variable
* @param sse sum of squared errors
* @param containsConstant true model has constant, false model does not have constant
* @param copyData if true a deep copy of all input data is made, if false only references
* are copied and the RegressionResults become mutable
*/
public RegressionResults(
final double[] parameters, final double[][] varcov,
final boolean isSymmetricCompressed,
final long nobs, final int rank,
final double sumy, final double sumysq, final double sse,
final boolean containsConstant,
final boolean copyData) {
if (copyData) {
this.parameters = MathArrays.copyOf(parameters);
this.varCovData = new double[varcov.length][];
for (int i = 0; i < varcov.length; i++) {
this.varCovData[i] = MathArrays.copyOf(varcov[i]);
}
} else {
this.parameters = parameters;
this.varCovData = varcov;
}
this.isSymmetricVCD = isSymmetricCompressed;
this.nobs = nobs;
this.rank = rank;
this.containsConstant = containsConstant;
this.globalFitInfo = new double[5];
Arrays.fill(this.globalFitInfo, Double.NaN);
if (rank > 0) {
this.globalFitInfo[SST_IDX] = containsConstant ?
(sumysq - sumy * sumy / nobs) : sumysq;
}
this.globalFitInfo[SSE_IDX] = sse;
this.globalFitInfo[MSE_IDX] = this.globalFitInfo[SSE_IDX] /
(nobs - rank);
this.globalFitInfo[RSQ_IDX] = 1.0 -
this.globalFitInfo[SSE_IDX] /
this.globalFitInfo[SST_IDX];
if (!containsConstant) {
this.globalFitInfo[ADJRSQ_IDX] = 1.0-
(1.0 - this.globalFitInfo[RSQ_IDX]) *
( (double) nobs / ( (double) (nobs - rank)));
} else {
this.globalFitInfo[ADJRSQ_IDX] = 1.0 - (sse * (nobs - 1.0)) /
(globalFitInfo[SST_IDX] * (nobs - rank));
}
}
/**
* <p>Returns the parameter estimate for the regressor at the given index.
*
* <p>A redundant regressor will have its redundancy flag set, as well as
* a parameters estimated equal to {@code Double.NaN}</p>
*
* @param index Index.
* @return the parameters estimated for regressor at index.
* @throws OutOfRangeException if {@code index} is not in the interval
* {@code [0, number of parameters)}.
*/
public double getParameterEstimate(int index) throws OutOfRangeException {
if (parameters == null) {
return Double.NaN;
}
if (index < 0 || index >= this.parameters.length) {
throw new OutOfRangeException(index, 0, this.parameters.length - 1);
}
return this.parameters[index];
}
/**
* <p>Returns a copy of the regression parameters estimates.
*
* <p>The parameter estimates are returned in the natural order of the data.
*
* <p>A redundant regressor will have its redundancy flag set, as will
* a parameter estimate equal to {@code Double.NaN}.</p>
*
* @return array of parameter estimates, null if no estimation occurred
*/
public double[] getParameterEstimates() {
if (this.parameters == null) {
return null;
}
return MathArrays.copyOf(parameters);
}
/**
* Returns the <a href="http://www.xycoon.com/standerrorb(1).htm">standard
* error of the parameter estimate at index</a>,
* usually denoted s(b<sub>index).
*
* @param index Index.
* @return the standard errors associated with parameters estimated at index.
* @throws OutOfRangeException if {@code index} is not in the interval
* {@code [0, number of parameters)}.
*/
public double getStdErrorOfEstimate(int index) throws OutOfRangeException {
if (parameters == null) {
return Double.NaN;
}
if (index < 0 || index >= this.parameters.length) {
throw new OutOfRangeException(index, 0, this.parameters.length - 1);
}
double var = this.getVcvElement(index, index);
if (!Double.isNaN(var) && var > Double.MIN_VALUE) {
return FastMath.sqrt(var);
}
return Double.NaN;
}
/**
* <p>Returns the standard
* error of the parameter estimates</a>,
* usually denoted s(b<sub>i).
*
* <p>If there are problems with an ill conditioned design matrix then the regressor
* which is redundant will be assigned <code>Double.NaN.
*
* @return an array standard errors associated with parameters estimates,
* null if no estimation occurred
*/
public double[] getStdErrorOfEstimates() {
if (parameters == null) {
return null;
}
double[] se = new double[this.parameters.length];
for (int i = 0; i < this.parameters.length; i++) {
double var = this.getVcvElement(i, i);
if (!Double.isNaN(var) && var > Double.MIN_VALUE) {
se[i] = FastMath.sqrt(var);
continue;
}
se[i] = Double.NaN;
}
return se;
}
/**
* <p>Returns the covariance between regression parameters i and j.
*
* <p>If there are problems with an ill conditioned design matrix then the covariance
* which involves redundant columns will be assigned {@code Double.NaN}. </p>
*
* @param i {@code i}th regression parameter.
* @param j {@code j}th regression parameter.
* @return the covariance of the parameter estimates.
* @throws OutOfRangeException if {@code i} or {@code j} is not in the
* interval {@code [0, number of parameters)}.
*/
public double getCovarianceOfParameters(int i, int j) throws OutOfRangeException {
if (parameters == null) {
return Double.NaN;
}
if (i < 0 || i >= this.parameters.length) {
throw new OutOfRangeException(i, 0, this.parameters.length - 1);
}
if (j < 0 || j >= this.parameters.length) {
throw new OutOfRangeException(j, 0, this.parameters.length - 1);
}
return this.getVcvElement(i, j);
}
/**
* <p>Returns the number of parameters estimated in the model.
*
* <p>This is the maximum number of regressors, some techniques may drop
* redundant parameters</p>
*
* @return number of regressors, -1 if not estimated
*/
public int getNumberOfParameters() {
if (this.parameters == null) {
return -1;
}
return this.parameters.length;
}
/**
* Returns the number of observations added to the regression model.
*
* @return Number of observations, -1 if an error condition prevents estimation
*/
public long getN() {
return this.nobs;
}
/**
* <p>Returns the sum of squared deviations of the y values about their mean.
*
* <p>This is defined as SSTO
* <a href="http://www.xycoon.com/SumOfSquares.htm">here.
*
* <p>If {@code n < 2}, this returns {@code Double.NaN}.
*
* @return sum of squared deviations of y values
*/
public double getTotalSumSquares() {
return this.globalFitInfo[SST_IDX];
}
/**
* <p>Returns the sum of squared deviations of the predicted y values about
* their mean (which equals the mean of y).</p>
*
* <p>This is usually abbreviated SSR or SSM. It is defined as SSM
* <a href="http://www.xycoon.com/SumOfSquares.htm">here
*
* <p>Preconditions:
* <li>At least two observations (with at least two different x values)
* must have been added before invoking this method. If this method is
* invoked before a model can be estimated, <code>Double.NaN is
* returned.
* </li>
*
* @return sum of squared deviations of predicted y values
*/
public double getRegressionSumSquares() {
return this.globalFitInfo[SST_IDX] - this.globalFitInfo[SSE_IDX];
}
/**
* <p>Returns the
* sum of squared errors</a> (SSE) associated with the regression
* model.</p>
*
* <p>The return value is constrained to be non-negative - i.e., if due to
* rounding errors the computational formula returns a negative result,
* 0 is returned.</p>
*
* <p>Preconditions:
* <li>numberOfParameters data pairs
* must have been added before invoking this method. If this method is
* invoked before a model can be estimated, <code>Double,NaN is
* returned.
* </li>
*
* @return sum of squared errors associated with the regression model
*/
public double getErrorSumSquares() {
return this.globalFitInfo[ SSE_IDX];
}
/**
* <p>Returns the sum of squared errors divided by the degrees of freedom,
* usually abbreviated MSE.</p>
*
* <p>If there are fewer than numberOfParameters + 1 data pairs in the model,
* or if there is no variation in <code>x, this returns
* <code>Double.NaN.
*
* @return sum of squared deviations of y values
*/
public double getMeanSquareError() {
return this.globalFitInfo[ MSE_IDX];
}
/**
* <p>Returns the
* coefficient of multiple determination</a>,
* usually denoted r-square.</p>
*
* <p>Preconditions:
* <li>At least numberOfParameters observations (with at least numberOfParameters different x values)
* must have been added before invoking this method. If this method is
* invoked before a model can be estimated, {@code Double,NaN} is
* returned.
* </li>
*
* @return r-square, a double in the interval [0, 1]
*/
public double getRSquared() {
return this.globalFitInfo[ RSQ_IDX];
}
/**
* <p>Returns the adjusted R-squared statistic, defined by the formula * R<sup>2adj = 1 - [SSR (n - 1)] / [SSTO (n - p)]
* </pre>
* where SSR is the sum of squared residuals},
* SSTO is the total sum of squares}, n is the number
* of observations and p is the number of parameters estimated (including the intercept).</p>
*
* <p>If the regression is estimated without an intercept term, what is returned is * <code> 1 - (1 - {@link #getRSquared()} ) * (n / (n - p))
* </pre>
*
* @return adjusted R-Squared statistic
*/
public double getAdjustedRSquared() {
return this.globalFitInfo[ ADJRSQ_IDX];
}
/**
* Returns true if the regression model has been computed including an intercept.
* In this case, the coefficient of the intercept is the first element of the
* {@link #getParameterEstimates() parameter estimates}.
* @return true if the model has an intercept term
*/
public boolean hasIntercept() {
return this.containsConstant;
}
/**
* Gets the i-jth element of the variance-covariance matrix.
*
* @param i first variable index
* @param j second variable index
* @return the requested variance-covariance matrix entry
*/
private double getVcvElement(int i, int j) {
if (this.isSymmetricVCD) {
if (this.varCovData.length > 1) {
//could be stored in upper or lower triangular
if (i == j) {
return varCovData[i][i];
} else if (i >= varCovData[j].length) {
return varCovData[i][j];
} else {
return varCovData[j][i];
}
} else {//could be in single array
if (i > j) {
return varCovData[0][(i + 1) * i / 2 + j];
} else {
return varCovData[0][(j + 1) * j / 2 + i];
}
}
} else {
return this.varCovData[i][j];
}
}
}
|
The search page
Other Java source code examples at this package level
Click here to learn more about this project
