Regress.RegressTest Method (TVec, TVec, TMtx, TRegStats, TVec, TVec, boolean, TVec)

Regression tests.

public RegressTest(TVec Y, TVec YCalc, TMtx ATA, ref TRegStats RegStat, TVec Residuals, TVec BStdDev, bool Constant, TVec Weights);

Parameters

Parameters	Description
Y	Dependant variables.
YCalc	Estimated (calculated) dependant variables.
ATA	Inverse matrix of normal equations i.e [A(T)*A]^-1.
RegStat	Returns regression statistics parameters.
Constant	If true then include intercept term b(0) in calculations. If false, set intercept term b(0) to 0.0.
Weights	Model weights (optional).

Remarks

Using regression results the routine calculates additional regression statistical parameters, together with model coefficients standard errors and model errors.

Related Topics

R2, PRESS

C# Example

Perform MLR and use results to calculate additional statistical parameters.

using Dew.Math;
using Dew.Stats.Units;
using Dew.Stats;
namespace Dew.Examples
{
  private void Example()
  {
    Matrix A = new Matrix(0,0);
    Matrix ATA = new Matrix(0,0);
    Vector y = new Vector(0);
    Vector b = new Vector(0);
    Vector w = new Vector(0);
    Vector b = new Vector(0);
    Vector res = new Vector(0);
    Vector bse = new Vector(0);
    // independent variables
    A.SetIt(4,2,false, new double[] {1.0, 2.0,
                    -3.2, 2.5,
                     8.0, -0.5,
                     -2.2, 1.8});
    w.SetIt(false, new double[] {1,2,2,1}); // weights
    y.SetIt(false, new double[] {-3.0, 0.25, 8.0, 5.5}); // dependent variables
    TRegStats rs = MulLinRegress(y,A,b,w,true,yhat,ATA); //do regression
    // b=(19.093757944, -2.0141843616, -10.082487055)
    RegressTest(y,yhat,ATA,out RegStat,res,bse,true,w); // do basic regression stats
    // RegStat = (ResidualVar:0.037230395108; R2:0.99965713428;
    // AdjustedR2:0.99897140285; F:1457.7968725; SignifProb: 0.01851663347)
  }
}