statsample 0.4.1 → 0.5.0

data/lib/statsample/regression/multiple.rb

@@ -1,284 +1,56 @@
+require 'statsample/regression/multiple/baseengine'
 module Statsample
-module Regression
-        # Module for Linear Multiple Regression Analysis
-        # You can call Regression::Multiple.listwise or Regression::Multiple.pairwise or instance directly the engines
-        # Example.
-        #
-        #  require 'statsample'
-        #  @a=[1,3,2,4,3,5,4,6,5,7].to_vector(:scale)
-        #  @b=[3,3,4,4,5,5,6,6,4,4].to_vector(:scale)
-        #  @c=[11,22,30,40,50,65,78,79,99,100].to_vector(:scale)
-        #  @y=[3,4,5,6,7,8,9,10,20,30].to_vector(:scale)
-        #  ds={'a'=>@a,'b'=>@b,'c'=>@c,'y'=>@y}.to_dataset
-        #  lr=Statsample::Regression::Multiple.listwise(ds,'y')        
-        #  #<Statsample::Regression::Multiple::AlglibEngine:0x7f21912e4758 @ds_valid=#<Statsample::Dataset:69891073182680 @fields=[a,b,c,y] labels={"a"=>nil, "b"=>nil, "y"=>nil, "c"=>nil} cases=10, @lr=#<Alglib::LinearRegression:0x7f21912df118 @model=#<Alglib_ext::LinearModel:0x7f21912df708>, @ivars=3, @cases=10, @report=#<Alglib_ext::LrReport:0x7f21912df168>>, @y_var="y", @ds=#<Statsample::Dataset:69891073182680 @fields=[a,b,c,y] labels={"a"=>nil, "b"=>nil, "y"=>nil, "c"=>nil} cases=10, @fields=["a", "b", "c"], @lr_s=nil, @dep_columns=[[1, 3, 2, 4, 3, 5, 4, 6, 5, 7], [3, 3, 4, 4, 5, 5, 6, 6, 4, 4], [11, 22, 30, 40, 50, 65, 78, 79, 99, 100]], @ds_indep=#<Statsample::Dataset:69891073180060 @fields=[a,b,c] labels={"a"=>nil, "b"=>nil, "c"=>nil} cases=10, @dy=Vector(type:scale, n:10)[3,4,5,6,7,8,9,10,20,30]>
-        
-        
-module Multiple
-    # Creates an object for listwise regression. 
-    # Alglib is faster, so is prefered over GSL
-    #   lr=Statsample::Regression::Multiple.listwise(ds,'y')
-    def self.listwise(ds,y_var)
-        if HAS_ALGIB
+  module Regression
+    # Module for Linear Multiple Regression Analysis
+    # You can call Regression::Multiple.listwise or Regression::Multiple.pairwise or instance directly the engines
+    # Example.
+    #
+    #  require 'statsample'
+    #  @a=[1,3,2,4,3,5,4,6,5,7].to_vector(:scale)
+    #  @b=[3,3,4,4,5,5,6,6,4,4].to_vector(:scale)
+    #  @c=[11,22,30,40,50,65,78,79,99,100].to_vector(:scale)
+    #  @y=[3,4,5,6,7,8,9,10,20,30].to_vector(:scale)
+    #  ds={'a'=>@a,'b'=>@b,'c'=>@c,'y'=>@y}.to_dataset
+    #  lr=Statsample::Regression::Multiple.listwise(ds,'y')        
+    #  #<Statsample::Regression::Multiple::AlglibEngine:0x7f21912e4758 @ds_valid=#<Statsample::Dataset:69891073182680 @fields=[a,b,c,y] labels={"a"=>nil, "b"=>nil, "y"=>nil, "c"=>nil} cases=10, @lr=#<Alglib::LinearRegression:0x7f21912df118 @model=#<Alglib_ext::LinearModel:0x7f21912df708>, @ivars=3, @cases=10, @report=#<Alglib_ext::LrReport:0x7f21912df168>>, @y_var="y", @ds=#<Statsample::Dataset:69891073182680 @fields=[a,b,c,y] labels={"a"=>nil, "b"=>nil, "y"=>nil, "c"=>nil} cases=10, @fields=["a", "b", "c"], @lr_s=nil, @dep_columns=[[1, 3, 2, 4, 3, 5, 4, 6, 5, 7], [3, 3, 4, 4, 5, 5, 6, 6, 4, 4], [11, 22, 30, 40, 50, 65, 78, 79, 99, 100]], @ds_indep=#<Statsample::Dataset:69891073180060 @fields=[a,b,c] labels={"a"=>nil, "b"=>nil, "c"=>nil} cases=10, @dy=Vector(type:scale, n:10)[3,4,5,6,7,8,9,10,20,30]>
+    module Multiple
+        # Creates an object for listwise regression. 
+        # Alglib is faster, so is prefered over GSL
+        #   lr=Statsample::Regression::Multiple.listwise(ds,'y')
+        def self.listwise(ds,y_var)
+          if HAS_ALGIB
             AlglibEngine.new(ds,y_var)
-        elsif HAS_GSL
+          elsif HAS_GSL
             GslEngine.new(ds,y_var)
-        else
+          else
             ds2=ds.dup_only_valid
             RubyEngine.new(ds2,y_var)
+          end
         end
-    end
-    
-    # Creates an object for pairwise regression
-    # For now, always retrieves a RubyEngine
-    #    lr=Statsample::Regression::Multiple.listwise(ds,'y')
-    def self.pairwise(ds,y_var)
-        RubyEngine.new(ds,y_var)
-    end
-    def self.listwise_by_exp(ds,exp)
-    end
-    # Returns a dataset and name of criteria using a expression.
-    # All nominal vectors are replaced by dummy coding
-    # and interactions are calculated
-    
-    def self.ds_by_exp(ds,exp)
-        raise "Not implemented"
-        parts=exp.split(/[\+=]/)
-        dependent=parts.pop
-        ds_out=[]
-        parts.each{|p|
-            
-        }
-    end
-    # Base class for Multiple Regression Engines
-    class BaseEngine
-    def initialize(ds,y_var)
-        @ds=ds
-        @y_var=y_var
-        @r2=nil
-    end
-    
-    # Retrieves a vector with predicted values for y
-    def predicted
-        (0...@ds.cases).collect { |i|
-            invalid=false
-            vect=@dep_columns.collect {|v| invalid=true if v[i].nil?; v[i]}
-            if invalid
-                nil
-            else
-                process(vect)
-            end
-        }.to_vector(:scale)
-    end
-    # Retrieves a vector with standarized values for y
-    def standarized_predicted
-        predicted.standarized
-    end
-    # Retrieves a vector with residuals values for y
-    def residuals
-        (0...@ds.cases).collect{|i|
-            invalid=false
-            vect=@dep_columns.collect{|v| invalid=true if v[i].nil?; v[i]}
-            if invalid or @ds[@y_var][i].nil?
-                nil
-            else
-             @ds[@y_var][i] - process(vect)
-         end
-        }.to_vector(:scale)
-    end
-    # R Multiple
-    def r
-        raise "You should implement this"
-    end
-    # Sum of squares Total
-    def sst
-        raise "You should implement this"
-    end
-    # Sum of squares (regression)
-    def ssr
-        r2*sst
-    end
-    # Sum of squares (Error)
-    def sse
-        sst - ssr
-    end            
-    # T values for coeffs
-    def coeffs_t
-        out={}
-        se=coeffs_se
-        coeffs.each{|k,v|
-            out[k]=v / se[k] 
-        }
-        out
-    end
-    # Mean square Regression
-    def msr
-        ssr.quo(df_r)
-    end
-    # Mean Square Error
-    def mse
-        sse.quo(df_e)
-    end            
-    # Degrees of freedom for regression
-    def df_r
-        @dep_columns.size
-    end
-    # Degrees of freedom for error
-    def df_e
-        @ds_valid.cases-@dep_columns.size-1
-    end
-    # Fisher for Anova
-    def f
-        (ssr.quo(df_r)).quo(sse.quo(df_e))
-    end
-    # Significance of Fisher
-    def significance
-        1.0-Distribution::F.cdf(f,df_r,df_e)
-    end
-        # Tolerance for a given variable
-        # http://talkstats.com/showthread.php?t=5056
-        def tolerance(var)
-            ds=assign_names(@dep_columns)
-            ds.each{|k,v|
-                ds[k]=v.to_vector(:scale)
-            }
-            lr=Multiple.listwise(ds.to_dataset,var)
-            1-lr.r2
-        end
-        # Tolerances for each coefficient
-        def coeffs_tolerances
-            @fields.inject({}) {|a,f|
-                a[f]=tolerance(f);
-                a
-            }
-        end
-        # Standard Error for coefficients
-        def coeffs_se
-            out={}
-            mse=sse.quo(df_e)
-            coeffs.each {|k,v|
-                out[k]=Math::sqrt(mse/(@ds[k].sum_of_squares*tolerance(k)))
-            }
-            out
-        end
-        # Estimated Variance-Covariance Matrix
-        # Used for calculation of se of constant 
-        def estimated_variance_covariance_matrix
-            mse_p=mse
-            columns=[]
-            @ds_valid.each_vector{|k,v|
-                columns.push(v.data) unless k==@y_var
-            }
-            columns.unshift([1.0]*@ds_valid.cases)
-            x=Matrix.columns(columns)
-            matrix=((x.t*x)).inverse * mse
-            matrix.collect {|i|
-                Math::sqrt(i) if i>0
-            }
-        end
-        # T for constant
-        def constant_t
-            constant.to_f/constant_se 
-        end
-        # Standard error for constant
-        def constant_se
-            estimated_variance_covariance_matrix[0,0]
-        end
-        # Retrieves a summary for Regression
-        def summary(report_type=ConsoleSummary)
-        c=coeffs
-        out=""
-        out.extend report_type
-        out.add <<HEREDOC
-Summary for regression of #{@fields.join(',')} over #{@y_var}
-*************************************************************
-Engine: #{self.class}
-Cases(listwise)=#{@ds.cases}(#{@ds_valid.cases})
-r=#{sprintf("%0.3f",r)}
-r2=#{sprintf("%0.3f",r2)}
-Equation=#{sprintf("%0.3f",constant)}+#{@fields.collect {|k| sprintf("%0.3f%s",c[k],k)}.join(' + ')}
-HEREDOC
-
-        out.add_line
-        out.add "ANOVA TABLE"
-        
-        t=Statsample::ReportTable.new(%w{source ss df ms f s})
-        t.add_row(["Regression", sprintf("%0.3f",ssr), df_r, sprintf("%0.3f",msr), sprintf("%0.3f",f), sprintf("%0.3f", significance)])
-        t.add_row(["Error", sprintf("%0.3f",sse), df_e, sprintf("%0.3f",mse)])
-        
-        t.add_row(["Total", sprintf("%0.3f",sst), df_r+df_e])
         
-        out.parse_table(t)
-        
-        begin
-        out.add "Beta coefficientes"
-        sc=standarized_coeffs
-        cse=coeffs_se
-        t=Statsample::ReportTable.new(%w{coeff b beta se t})
-        t.add_row(["Constant", sprintf("%0.3f", constant), "-", sprintf("%0.3f", constant_se), sprintf("%0.3f", constant_t)])
-        @fields.each{|f|
-        t.add_row([f, sprintf("%0.3f", c[f]), sprintf("%0.3f", sc[f]), sprintf("%0.3f", cse[f]), sprintf("%0.3f", c[f].quo(cse[f]))])
-        }
-        out.parse_table(t)
-        
-        rescue
+        # Creates an object for pairwise regression
+        # For now, always retrieves a RubyEngine
+        #    lr=Statsample::Regression::Multiple.listwise(ds,'y')
+        def self.pairwise(ds,y_var)
+          RubyEngine.new(ds,y_var)
         end
-            out
+        def self.listwise_by_exp(ds,exp)
+          raise "Not implemented yet"
         end
-        def assign_names(c)
-                a={}
-                @fields.each_index {|i|
-                    a[@fields[i]]=c[i]
-                }
-                a
+        # Returns a dataset and name of criteria using a expression.
+        # All nominal vectors are replaced by dummy coding
+        # and interactions are calculated
+        
+        def self.ds_by_exp(ds,exp)
+          raise "Not implemented"
+          parts=exp.split(/[\+=]/)
+          dependent=parts.pop
+          ds_out=[]
+          parts.each{|p|
+          
+          }
         end
-
         
-    # Deprecated
-    # Sum of squares of error (manual calculation)
-    # using the predicted value minus the y_i value
-    def sse_manual
-        pr=predicted
-        cases=0
-        sse=(0...@ds.cases).inject(0) {|a,i|
-            if !@dy.data_with_nils[i].nil? and !pr[i].nil?
-                cases+=1
-                a+((pr[i]-@dy[i])**2)
-            else
-                a
-            end
-        }
-        sse*(min_n_valid-1.0).quo(cases-1)
-    end
-    # Sum of squares of regression
-    # using the predicted value minus y mean
-    def ssr_direct
-        mean=@dy.mean
-        cases=0
-        ssr=(0...@ds.cases).inject(0) {|a,i|
-            invalid=false
-            v=@dep_columns.collect{|c| invalid=true if c[i].nil?; c[i]}
-            if !invalid
-                cases+=1
-                a+((process(v)-mean)**2)
-            else
-                a
-            end
-        }
-        ssr
-    end
-    def sse_direct
-        sst-ssr
     end
-     def process(v)
-        c=coeffs
-        total=constant
-        @fields.each_index{|i|
-        total+=c[@fields[i]]*v[i]
-        }
-        total
-    end
-end
-end
-end
+  end
 end

data/lib/statsample/regression/multiple/baseengine.rb

@@ -0,0 +1,235 @@
+module Statsample
+  module Regression
+    module Multiple
+      # Base class for Multiple Regression Engines
+      class BaseEngine
+        def initialize(ds,y_var)
+        @ds=ds
+        @y_var=y_var
+        @r2=nil
+        end
+        
+        # Retrieves a vector with predicted values for y
+        def predicted
+        (0...@ds.cases).collect { |i|
+        invalid=false
+        vect=@dep_columns.collect {|v| invalid=true if v[i].nil?; v[i]}
+        if invalid
+        nil
+        else
+        process(vect)
+        end
+        }.to_vector(:scale)
+        end
+        # Retrieves a vector with standarized values for y
+        def standarized_predicted
+        predicted.standarized
+        end
+        # Retrieves a vector with residuals values for y
+        def residuals
+        (0...@ds.cases).collect{|i|
+        invalid=false
+        vect=@dep_columns.collect{|v| invalid=true if v[i].nil?; v[i]}
+        if invalid or @ds[@y_var][i].nil?
+        nil
+        else
+        @ds[@y_var][i] - process(vect)
+        end
+        }.to_vector(:scale)
+        end
+        # R Multiple
+        def r
+        raise "You should implement this"
+        end
+        # Sum of squares Total
+        def sst
+        raise "You should implement this"
+        end
+        # Sum of squares (regression)
+        def ssr
+        r2*sst
+        end
+        # Sum of squares (Error)
+        def sse
+        sst - ssr
+        end            
+        # T values for coeffs
+        def coeffs_t
+        out={}
+        se=coeffs_se
+        coeffs.each{|k,v|
+        out[k]=v / se[k] 
+        }
+        out
+        end
+        # Mean square Regression
+        def msr
+        ssr.quo(df_r)
+        end
+        # Mean Square Error
+        def mse
+        sse.quo(df_e)
+        end            
+        # Degrees of freedom for regression
+        def df_r
+        @dep_columns.size
+        end
+        # Degrees of freedom for error
+        def df_e
+        @ds_valid.cases-@dep_columns.size-1
+        end
+        # Fisher for Anova
+        def f
+        (ssr.quo(df_r)).quo(sse.quo(df_e))
+        end
+        # Significance of Fisher
+        def significance
+        1.0-Distribution::F.cdf(f,df_r,df_e)
+        end
+        # Tolerance for a given variable
+        # http://talkstats.com/showthread.php?t=5056
+        def tolerance(var)
+        ds=assign_names(@dep_columns)
+        ds.each{|k,v|
+        ds[k]=v.to_vector(:scale)
+        }
+        lr=Multiple.listwise(ds.to_dataset,var)
+        1-lr.r2
+        end
+        # Tolerances for each coefficient
+        def coeffs_tolerances
+        @fields.inject({}) {|a,f|
+        a[f]=tolerance(f);
+        a
+        }
+        end
+        # Standard Error for coefficients
+        def coeffs_se
+        out={}
+        mse=sse.quo(df_e)
+        coeffs.each {|k,v|
+        out[k]=Math::sqrt(mse/(@ds[k].sum_of_squares*tolerance(k)))
+        }
+        out
+        end
+        # Estimated Variance-Covariance Matrix
+        # Used for calculation of se of constant 
+        def estimated_variance_covariance_matrix
+        mse_p=mse
+        columns=[]
+        @ds_valid.each_vector{|k,v|
+        columns.push(v.data) unless k==@y_var
+        }
+        columns.unshift([1.0]*@ds_valid.cases)
+        x=Matrix.columns(columns)
+        matrix=((x.t*x)).inverse * mse
+        matrix.collect {|i|
+        Math::sqrt(i) if i>0
+        }
+        end
+        # T for constant
+        def constant_t
+        constant.to_f/constant_se 
+        end
+        # Standard error for constant
+        def constant_se
+        estimated_variance_covariance_matrix[0,0]
+        end
+        # Retrieves a summary for Regression
+        def summary(report_type=ConsoleSummary)
+        c=coeffs
+        out=""
+        out.extend report_type
+        out.add <<HEREDOC
+        Summary for regression of #{@fields.join(',')} over #{@y_var}
+        *************************************************************
+        Engine: #{self.class}
+        Cases(listwise)=#{@ds.cases}(#{@ds_valid.cases})
+        r=#{sprintf("%0.3f",r)}
+        r2=#{sprintf("%0.3f",r2)}
+        Equation=#{sprintf("%0.3f",constant)}+#{@fields.collect {|k| sprintf("%0.3f%s",c[k],k)}.join(' + ')}
+HEREDOC
+        
+        out.add_line
+        out.add "ANOVA TABLE"
+        
+        t=Statsample::ReportTable.new(%w{source ss df ms f s})
+        t.add_row(["Regression", sprintf("%0.3f",ssr), df_r, sprintf("%0.3f",msr), sprintf("%0.3f",f), sprintf("%0.3f", significance)])
+        t.add_row(["Error", sprintf("%0.3f",sse), df_e, sprintf("%0.3f",mse)])
+        
+        t.add_row(["Total", sprintf("%0.3f",sst), df_r+df_e])
+        
+        out.parse_table(t)
+        
+        begin
+        out.add "Beta coefficientes"
+        sc=standarized_coeffs
+        cse=coeffs_se
+        t=Statsample::ReportTable.new(%w{coeff b beta se t})
+        t.add_row(["Constant", sprintf("%0.3f", constant), "-", sprintf("%0.3f", constant_se), sprintf("%0.3f", constant_t)])
+        @fields.each{|f|
+        t.add_row([f, sprintf("%0.3f", c[f]), sprintf("%0.3f", sc[f]), sprintf("%0.3f", cse[f]), sprintf("%0.3f", c[f].quo(cse[f]))])
+        }
+        out.parse_table(t)
+        
+        rescue
+        end
+        out
+        end
+        def assign_names(c)
+        a={}
+        @fields.each_index {|i|
+        a[@fields[i]]=c[i]
+        }
+        a
+        end
+        
+        
+        # Deprecated
+        # Sum of squares of error (manual calculation)
+        # using the predicted value minus the y_i value
+        def sse_manual
+        pr=predicted
+        cases=0
+        sse=(0...@ds.cases).inject(0) {|a,i|
+        if !@dy.data_with_nils[i].nil? and !pr[i].nil?
+        cases+=1
+        a+((pr[i]-@dy[i])**2)
+        else
+        a
+        end
+        }
+        sse*(min_n_valid-1.0).quo(cases-1)
+        end
+        # Sum of squares of regression
+        # using the predicted value minus y mean
+        def ssr_direct
+        mean=@dy.mean
+        cases=0
+        ssr=(0...@ds.cases).inject(0) {|a,i|
+        invalid=false
+        v=@dep_columns.collect{|c| invalid=true if c[i].nil?; c[i]}
+        if !invalid
+        cases+=1
+        a+((process(v)-mean)**2)
+        else
+        a
+        end
+        }
+        ssr
+        end
+        def sse_direct
+        sst-ssr
+        end
+        def process(v)
+        c=coeffs
+        total=constant
+        @fields.each_index{|i|
+        total+=c[@fields[i]]*v[i]
+        }
+        total
+        end
+      end
+    end
+  end
+end