public void test1dLinearRegression()
{
//BOOST_MESSAGE("Testing 1d simple linear least-squares regression...");
/* Example taken from the QuantLib-User list, see posting
* Multiple linear regression/weighted regression, Boris Skorodumov */
//SavedSettings backup;
List <double> x = new InitializedList <double>(9),
y = new InitializedList <double>(9);
x[0] = 2.4; x[1] = 1.8; x[2] = 2.5; x[3] = 3.0;
x[4] = 2.1; x[5] = 1.2; x[6] = 2.0; x[7] = 2.7; x[8] = 3.6;
y[0] = 7.8; y[1] = 5.5; y[2] = 8.0; y[3] = 9.0;
y[4] = 6.5; y[5] = 4.0; y[6] = 6.3; y[7] = 8.4; y[8] = 10.2;
List <Func <double, double> > v = new List <Func <double, double> >();
v.Add(a => 1.0);
v.Add(a => a);
LinearRegression m = new LinearRegression(x, y);
const double tol = 0.0002;
double[] coeffExpected = new double[] { 0.9448, 2.6853 };
double[] errorsExpected = new double[] { 0.3654, 0.1487 };
for (int i = 0; i < 2; ++i)
{
if (Math.Abs(m.standardErrors()[i] - errorsExpected[i]) > tol)
{
Assert.Fail("Failed to reproduce linear regression standard errors"
+ "\n calculated: " + m.standardErrors()[i]
+ "\n expected: " + errorsExpected[i]
+ "\n tolerance: " + tol);
}
if (Math.Abs(m.coefficients()[i] - coeffExpected[i]) > tol)
{
Assert.Fail("Failed to reproduce linear regression coef."
+ "\n calculated: " + m.coefficients()[i]
+ "\n expected: " + coeffExpected[i]
+ "\n tolerance: " + tol);
}
}
}
public void test1dLinearRegression()
{
//BOOST_MESSAGE("Testing 1d simple linear least-squares regression...");
/* Example taken from the QuantLib-User list, see posting
* Multiple linear regression/weighted regression, Boris Skorodumov */
//SavedSettings backup;
List<double> x = new InitializedList<double>(9),
y = new InitializedList<double>(9);
x[0] = 2.4; x[1] = 1.8; x[2] = 2.5; x[3] = 3.0;
x[4] = 2.1; x[5] = 1.2; x[6] = 2.0; x[7] = 2.7; x[8] = 3.6;
y[0] = 7.8; y[1] = 5.5; y[2] = 8.0; y[3] = 9.0;
y[4] = 6.5; y[5] = 4.0; y[6] = 6.3; y[7] = 8.4; y[8] = 10.2;
List<Func<double, double>> v = new List<Func<double, double>>();
v.Add(a => 1.0);
v.Add(a => a);
LinearRegression m = new LinearRegression(x, y);
const double tol = 0.0002;
double[] coeffExpected = new double[] { 0.9448, 2.6853 };
double[] errorsExpected = new double[] { 0.3654, 0.1487 };
for (int i = 0; i < 2; ++i) {
if (Math.Abs(m.standardErrors()[i] - errorsExpected[i]) > tol) {
Assert.Fail("Failed to reproduce linear regression standard errors"
+ "\n calculated: " + m.standardErrors()[i]
+ "\n expected: " + errorsExpected[i]
+ "\n tolerance: " + tol);
}
if (Math.Abs(m.coefficients()[i] - coeffExpected[i]) > tol) {
Assert.Fail("Failed to reproduce linear regression coef."
+ "\n calculated: " + m.coefficients()[i]
+ "\n expected: " + coeffExpected[i]
+ "\n tolerance: " + tol);
}
}
}