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<HTML> <BODY BGCOLOR="white"> <PRE> <FONT color="green">001</FONT> /*<a name="line.1"></a> <FONT color="green">002</FONT> * Licensed to the Apache Software Foundation (ASF) under one or more<a name="line.2"></a> <FONT color="green">003</FONT> * contributor license agreements. See the NOTICE file distributed with<a name="line.3"></a> <FONT color="green">004</FONT> * this work for additional information regarding copyright ownership.<a name="line.4"></a> <FONT color="green">005</FONT> * The ASF licenses this file to You under the Apache License, Version 2.0<a name="line.5"></a> <FONT color="green">006</FONT> * (the "License"); you may not use this file except in compliance with<a name="line.6"></a> <FONT color="green">007</FONT> * the License. You may obtain a copy of the License at<a name="line.7"></a> <FONT color="green">008</FONT> *<a name="line.8"></a> <FONT color="green">009</FONT> * http://www.apache.org/licenses/LICENSE-2.0<a name="line.9"></a> <FONT color="green">010</FONT> *<a name="line.10"></a> <FONT color="green">011</FONT> * Unless required by applicable law or agreed to in writing, software<a name="line.11"></a> <FONT color="green">012</FONT> * distributed under the License is distributed on an "AS IS" BASIS,<a name="line.12"></a> <FONT color="green">013</FONT> * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.<a name="line.13"></a> <FONT color="green">014</FONT> * See the License for the specific language governing permissions and<a name="line.14"></a> <FONT color="green">015</FONT> * limitations under the License.<a name="line.15"></a> <FONT color="green">016</FONT> */<a name="line.16"></a> <FONT color="green">017</FONT> package org.apache.commons.math.stat.regression;<a name="line.17"></a> <FONT color="green">018</FONT> <a name="line.18"></a> <FONT color="green">019</FONT> /**<a name="line.19"></a> <FONT color="green">020</FONT> * The multiple linear regression can be represented in matrix-notation.<a name="line.20"></a> <FONT color="green">021</FONT> * <pre><a name="line.21"></a> <FONT color="green">022</FONT> * y=X*b+u<a name="line.22"></a> <FONT color="green">023</FONT> * </pre><a name="line.23"></a> <FONT color="green">024</FONT> * where y is an <code>n-vector</code> <b>regressand</b>, X is a <code>[n,k]</code> matrix whose <code>k</code> columns are called<a name="line.24"></a> <FONT color="green">025</FONT> * <b>regressors</b>, b is <code>k-vector</code> of <b>regression parameters</b> and <code>u</code> is an <code>n-vector</code><a name="line.25"></a> <FONT color="green">026</FONT> * of <b>error terms</b> or <b>residuals</b>.<a name="line.26"></a> <FONT color="green">027</FONT> *<a name="line.27"></a> <FONT color="green">028</FONT> * The notation is quite standard in literature,<a name="line.28"></a> <FONT color="green">029</FONT> * cf eg <a href="http://www.econ.queensu.ca/ETM">Davidson and MacKinnon, Econometrics Theory and Methods, 2004</a>.<a name="line.29"></a> <FONT color="green">030</FONT> * @version $Revision: 811685 $ $Date: 2009-09-05 13:36:48 -0400 (Sat, 05 Sep 2009) $<a name="line.30"></a> <FONT color="green">031</FONT> * @since 2.0<a name="line.31"></a> <FONT color="green">032</FONT> */<a name="line.32"></a> <FONT color="green">033</FONT> public interface MultipleLinearRegression {<a name="line.33"></a> <FONT color="green">034</FONT> <a name="line.34"></a> <FONT color="green">035</FONT> /**<a name="line.35"></a> <FONT color="green">036</FONT> * Estimates the regression parameters b.<a name="line.36"></a> <FONT color="green">037</FONT> *<a name="line.37"></a> <FONT color="green">038</FONT> * @return The [k,1] array representing b<a name="line.38"></a> <FONT color="green">039</FONT> */<a name="line.39"></a> <FONT color="green">040</FONT> double[] estimateRegressionParameters();<a name="line.40"></a> <FONT color="green">041</FONT> <a name="line.41"></a> <FONT color="green">042</FONT> /**<a name="line.42"></a> <FONT color="green">043</FONT> * Estimates the variance of the regression parameters, ie Var(b).<a name="line.43"></a> <FONT color="green">044</FONT> *<a name="line.44"></a> <FONT color="green">045</FONT> * @return The [k,k] array representing the variance of b<a name="line.45"></a> <FONT color="green">046</FONT> */<a name="line.46"></a> <FONT color="green">047</FONT> double[][] estimateRegressionParametersVariance();<a name="line.47"></a> <FONT color="green">048</FONT> <a name="line.48"></a> <FONT color="green">049</FONT> /**<a name="line.49"></a> <FONT color="green">050</FONT> * Estimates the residuals, ie u = y - X*b.<a name="line.50"></a> <FONT color="green">051</FONT> *<a name="line.51"></a> <FONT color="green">052</FONT> * @return The [n,1] array representing the residuals<a name="line.52"></a> <FONT color="green">053</FONT> */<a name="line.53"></a> <FONT color="green">054</FONT> double[] estimateResiduals();<a name="line.54"></a> <FONT color="green">055</FONT> <a name="line.55"></a> <FONT color="green">056</FONT> /**<a name="line.56"></a> <FONT color="green">057</FONT> * Returns the variance of the regressand, ie Var(y).<a name="line.57"></a> <FONT color="green">058</FONT> *<a name="line.58"></a> <FONT color="green">059</FONT> * @return The double representing the variance of y<a name="line.59"></a> <FONT color="green">060</FONT> */<a name="line.60"></a> <FONT color="green">061</FONT> double estimateRegressandVariance();<a name="line.61"></a> <FONT color="green">062</FONT> <a name="line.62"></a> <FONT color="green">063</FONT> /**<a name="line.63"></a> <FONT color="green">064</FONT> * Returns the standard errors of the regression parameters.<a name="line.64"></a> <FONT color="green">065</FONT> *<a name="line.65"></a> <FONT color="green">066</FONT> * @return standard errors of estimated regression parameters<a name="line.66"></a> <FONT color="green">067</FONT> */<a name="line.67"></a> <FONT color="green">068</FONT> double[] estimateRegressionParametersStandardErrors();<a name="line.68"></a> <FONT color="green">069</FONT> <a name="line.69"></a> <FONT color="green">070</FONT> }<a name="line.70"></a> </PRE> </BODY> </HTML>