Module: Statsample::Regression::Multiple

Defined in:
lib/statsample/regression/multiple.rb,
lib/statsample/regression/multiple/gslengine.rb,
lib/statsample/regression/multiple/baseengine.rb,
lib/statsample/regression/multiple/rubyengine.rb,
lib/statsample/regression/multiple/alglibengine.rb,
lib/statsample/regression/multiple/matrixengine.rb

Overview

Module for OLS Multiple Regression Analysis.

Use:.

require 'statsample' a = Daru::Vector.new(1000.times.collect rand) b = Daru::Vector.new(1000.times.collect rand) c = Daru::Vector.new(1000.times.collect rand) ds= Daru::DataFrame.new(=> a,:b => b,:c => c) ds=ds.collect{|row| row[:a]*5 + row[:b]*3 + row[:c]*2 + rand()} lr=Statsample::Regression.multiple(ds, :y) puts lr.summary Summary for regression of a,b,c over y

Engine: Statsample::Regression::Multiple::AlglibEngine Cases(listwise)=1000(1000) r=0.986 r2=0.973 Equation=0.504+5.011a + 2.995b + 1.988c

ANOVA TABLE

| source | ss | df | ms | f | s |

| Regression | 2979.321 | 3 | 993.107 | 12040.067 | 0.000 | | Error | 82.154 | 996 | 0.082 | | |

| Total | 3061.475 | 999 | | | |

Beta coefficientes

| coeff | b | beta | se | t |

| Constant | 0.504 | - | 0.030 | 16.968 | | a | 5.011 | 0.832 | 0.031 | 159.486 | | b | 2.995 | 0.492 | 0.032 | 94.367 |

| c | 1.988 | 0.323 | 0.032 | 62.132 |

Defined Under Namespace

Classes: AlglibEngine, BaseEngine, GslEngine, MatrixEngine, MultipleDependent, RubyEngine

Class Method Summary collapse

Class Method Details

.r2_from_matrices(rxx, rxy) ⇒ Object

Obtain r2 for regressors



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# File 'lib/statsample/regression/multiple.rb', line 44

def self.r2_from_matrices(rxx,rxy)
  matrix=(rxy.transpose*rxx.inverse*rxy)
  matrix[0,0]
end