Why does my mex-function for linear regression return r-squared values above 1?
1 visualizzazione (ultimi 30 giorni)
Mostra commenti meno recenti
In a mex-file I have a function called ols() that is supposed to calculate a linear regression for two vectors, 'x' and 'y'. Unfortunately, every now and then ols() returns r-squared values that are higher than 1, so at some point there must be an error in my calculations...but I can't figure out where. Any help would be be greatly appreciated.
std::vector<float> ols(const std::vector<float>& x, const std::vector<float>& y){
if(x.size() != y.size()){
mexErrMsgTxt("Error: The length of vector 'x' does not equal the length of vector 'y'.");
}
float sumx = 0.0;
float sumx2 = 0.0;
float sumxy = 0.0;
float sumy = 0.0;
float sumy2 = 0.0;
float n = x.size();
for (int i=0;i<n;i++){
sumx += x[i];
sumx2 += pow(x[i], 2);
sumxy += x[i] * y[i];
sumy += y[i];
sumy2 += pow(y[i], 2);
}
float denominator = (n * sumx2 - pow(sumx, 2));
float slope = (n * sumxy - sumx * sumy) / denominator;
float intercept = (sumy * sumx2 - sumx * sumxy) / denominator;
float r = (sumxy - sumx * sumy / n) /
sqrt((sumx2 - pow(sumx, 2)/n) *
(sumy2 - pow(sumy, 2)/n));
float rsquared = pow(r, 2);
std::vector<float> stats;
stats.push_back(slope);
stats.push_back(intercept);
stats.push_back(rsquared);
return stats;
}
0 Commenti
Risposta accettata
James Tursa
il 2 Ott 2018
Modificato: James Tursa
il 2 Ott 2018
I haven't run your code, but just looking at it you are using the worst algorithm numerically with single precision numbers, which is not a good combination. At the very least you should be using a better algorithm, and maybe doing the calculations in double precision. E.g., see this link:
5 Commenti
James Tursa
il 2 Ott 2018
Modificato: James Tursa
il 2 Ott 2018
As a start, maybe try the two pass algorithm since it is much better than the one pass algorithm you are currently using.
Più risposte (0)
Vedere anche
Categorie
Scopri di più su Get Started with Specialized Power Systems in Help Center e File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!