Examples of org.apache.commons.math.distribution.ContinuousDistribution

    final double regressionSumOfSquares = totalSumOfSquares - errorSumOfSquares;
    final double[][] covarianceBetas = convertArray(_algebra.inverse(_algebra.mult(transpose, matrix)).toArray());
    final double rSquared = regressionSumOfSquares / totalSumOfSquares;
    final double adjustedRSquared = 1. - (1 - rSquared) * (n - 1) / (n - k);
    final double meanSquareError = errorSumOfSquares / (n - k);
    final ContinuousDistribution studentT = new TDistributionImpl(n - k);
    for (int i = 0; i < k; i++) {
      standardErrorsOfBeta[i] = Math.sqrt(meanSquareError * covarianceBetas[i][i]);
      tStats[i] = betas[i] / standardErrorsOfBeta[i];
      try {
        pValues[i] = 1 - studentT.cumulativeProbability(Math.abs(tStats[i]));
      } catch (final org.apache.commons.math.MathException e) {
        throw new com.opengamma.analytics.math.MathException(e);
      }
    }
    return new WeightedLeastSquaresRegressionResult(betas, residuals, meanSquareError, standardErrorsOfBeta, rSquared, adjustedRSquared, tStats, pValues,

    final double regressionSumOfSquares = totalSumOfSquares - errorSumOfSquares;
    final double[][] covarianceBetas = convertArray(_algebra.inverse(_algebra.mult(transpose, matrix)).toArray());
    final double rSquared = regressionSumOfSquares / totalSumOfSquares;
    final double adjustedRSquared = 1. - (1 - rSquared) * (n - 1.) / (n - k);
    final double meanSquareError = errorSumOfSquares / (n - k);
    final ContinuousDistribution studentT = new TDistributionImpl(n - k);
    // final ProbabilityDistribution<Double> studentT = new
    // StudentTDistribution(n - k);
    for (int i = 0; i < k; i++) {
      stdErrorBetas[i] = Math.sqrt(meanSquareError * covarianceBetas[i][i]);
      tStats[i] = betas[i] / stdErrorBetas[i];
      try {
        pValues[i] = 1 - studentT.cumulativeProbability(Math.abs(tStats[i]));
      } catch (final org.apache.commons.math.MathException e) {
        throw new com.opengamma.analytics.math.MathException(e);
      }
    }
    return new LeastSquaresRegressionResult(betas, residuals, meanSquareError, stdErrorBetas, rSquared, adjustedRSquared, tStats, pValues, useIntercept);

Examples of org.apache.commons.math.distribution.ContinuousDistribution

Related Classes of org.apache.commons.math.distribution.ContinuousDistribution