Example usage for org.apache.commons.math.stat.regression OLSMultipleLinearRegression estimateResiduals

Introduction

In this page you can find the example usage for org.apache.commons.math.stat.regression OLSMultipleLinearRegression estimateResiduals.

Prototype

public double[] estimateResiduals() 

Source Link

Usage

From source file:ru.algorithmist.jquant.math.GrangerTest.java

/**
 * Returns p-value for Granger causality test.
 *
 * @param y - predictable variable/*from  ww  w.j av  a2s  . com*/
 * @param x - predictor
 * @param L - lag, should be 1 or greater.
 * @return p-value of Granger causality
 */
public static double granger(double[] y, double[] x, int L) {
    OLSMultipleLinearRegression h0 = new OLSMultipleLinearRegression();
    OLSMultipleLinearRegression h1 = new OLSMultipleLinearRegression();

    double[][] laggedY = createLaggedSide(L, y);

    double[][] laggedXY = createLaggedSide(L, x, y);

    int n = laggedY.length;

    h0.newSampleData(strip(L, y), laggedY);
    h1.newSampleData(strip(L, y), laggedXY);

    double rs0[] = h0.estimateResiduals();
    double rs1[] = h1.estimateResiduals();

    double RSS0 = sqrSum(rs0);
    double RSS1 = sqrSum(rs1);

    double ftest = ((RSS0 - RSS1) / L) / (RSS1 / (n - 2 * L - 1));

    System.out.println(RSS0 + " " + RSS1);
    System.out.println("F-test " + ftest);

    FDistribution fDist = new FDistributionImpl(L, n - 2 * L - 1);
    try {
        double pValue = 1.0 - fDist.cumulativeProbability(ftest);
        System.out.println("P-value " + pValue);
        return pValue;
    } catch (MathException e) {
        throw new RuntimeException(e);
    }

}

---