mvlinreg.tcl

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/*  mvreglin.tcl --*/
/*      Addition to the statistics package*/
/*      Copyright 2007 Eric Kemp-Benedict*/
/*      Released under the BSD license under any terms*/
/*      that allow it to be compatible with tcllib*/

package require math::linearalgebra 1.0
package require math::statistics 0.4

/*  ::math::statistics --*/
/*      This file adds:*/
/*      mvlinreg = Multivariate Linear Regression*/
/* */
namespace ::math::statistics {
    variable epsilon 1.0e-7

    namespace export tstat mv-wls mv-ols

    namespace import -force \
        ::math::linearalgebra::mkMatrix \
        ::math::linearalgebra::mkVector \
        ::math::linearalgebra::mkIdentity \
        ::math::linearalgebra::mkDiagonal \
        ::math::linearalgebra::getrow \
        ::math::linearalgebra::row =  \
        ::math::linearalgebra::getcol \
        ::math::linearalgebra::col =  \
        ::math::linearalgebra::getelem \
        ::math::linearalgebra::elem =  \
        ::math::linearalgebra::dotproduct \
        ::math::linearalgebra::matmul \
        ::math::linearalgebra::add \
        ::math::linearalgebra::sub \
        ::math::linearalgebra::solveGauss \
        ::math::linearalgebra::transpose
}

/*  tstats --*/
/*      Returns inverse of the single-tailed t distribution*/
/*      given number of degrees of freedom & confidence*/
/* */
/*  Arguments:*/
/*      n        Number of degrees of freedom*/
/*      alpha    Confidence level (defaults to 0.05)*/
/* */
/*  Result:*/
/*      Inverse of the t-distribution*/
/* */
/*  Note:*/
/*      Iterates until result is within epsilon of the target.*/
/*      It is possible that the iteration does not converge*/
/* */
ret  ::math::statistics::tstat (type n , optional alpha =0.05) {
    variable epsilon
    variable tvals

    if [info exists tvals($n:$alpha)] {
        return $tvals($n:$alpha)
    }

    set deltat [expr {100 * $epsilon}]
    # For one-tailed distribution,
    set ptarg [expr {1.000 - $alpha/2.0}]
    set maxiter 100

    # Initial value for t
    set t 2.0

    set niter 0
    while {abs([::math::statistics::cdf-students-t $n $t] - $ptarg) > $epsilon} {
        set pstar [::math::statistics::cdf-students-t $n $t]
        set pl [::math::statistics::cdf-students-t $n [expr {$t - $deltat}]]
        set ph [::math::statistics::cdf-students-t $n [expr {$t + $deltat}]]

        set t [expr {$t + 2.0 * $deltat * ($ptarg - $pstar)/($ph - $pl)}]

        incr niter
        if {$niter == $maxiter} {
            return -code error "::math::statistics::tstat: Did not converge after $niter iterations"
        }
    }

    # Cache the result to shorten the call in future
    set tvals($n:$alpha) $t

    return $t
}

/*  mv-wls --*/
/*      Weighted Least Squares*/
/* */
/*  Arguments:*/
/*      data       Alternating list of weights and observations*/
/* */
/*  Result:*/
/*      List containing:*/
/*      * R-squared*/
/*      * Adjusted R-squared*/
/*      * Coefficients of x's in fit*/
/*      * Standard errors of the coefficients*/
/*      * 95% confidence bounds for coefficients*/
/* */
/*  Note:*/
/*      The observations are lists starting with the dependent variable y*/
/*      and then the values of the independent variables (x1, x2, ...):*/
/* */
/*      mv-wls [list w [list y x's] w [list y x's] ...]*/
/* */
ret  ::math::statistics::mv-wls (type data) {

    # Fill the matrices of x & y values, and weights
    # For n points, k coefficients

    # The number of points is equal to half the arguments (n weights, n points)
    set n [expr {[llength $data]/2}]

    set firstloop true
    # Sum up all y values to take an average
    set ysum 0
    # Add up the weights
    set wtsum 0
    # Count over rows (points) as you go
    set point 0
    foreach {wt pt} $data {

        # Check inputs
        if {[string is double $wt] == 0} {
            return -code error "::math::statistics::mv-wls: Weight \"$wt\" is not a number"
            return {}
        }

        ## -- Check dimensions, initialize
        if $firstloop {
            # k = num of vals in pt = 1 + number of x's (because of constant)
            set k [llength $pt]
            if {$n <= [expr {$k + 1}]} {
                return -code error "::math::statistics::mv-wls: Too few degrees of freedom: $k variables but only $n points"
                return {}
            }
            set X [mkMatrix $n $k]
            set y [mkVector $n]
            set I_x [mkIdentity $k]
            set I_y [mkIdentity $n]

            set firstloop false

        } else {
            # Have to have same number of x's for all points
            if {$k != [llength $pt]} {
                return -code error "::math::statistics::mv-wls: Point \"$pt\" has wrong number of values (expected $k)"
                # Clean up
                return {}
            }
        }

        ## -- Extract values from set of points
        # Make a list of y values
        set yval [expr {double([lindex $pt 0])}]
        setelem y $point $yval
        set ysum [expr {$ysum + $wt * $yval}]
        set wtsum [expr {$wtsum + $wt}]
        # Add x-values to the x-matrix
        set xrow [lrange $pt 1 end]
        # Add the constant (value = 1.0)
        lappend xrow 1.0
        setrow X $point $xrow
        # Create list of weights & square root of weights
        lappend w [expr {double($wt)}]
        lappend sqrtw [expr {sqrt(double($wt))}]

        incr point

    }

    set ymean [expr {double($ysum)/$wtsum}]
    set W [mkDiagonal $w]
    set sqrtW [mkDiagonal $sqrtw]

    # Calculate sum os square differences for x's
    for {set r 0} {$r < $k} {incr r} {
        set xsqrsum 0.0
        set xmeansum 0.0
        # Calculate sum of squared differences as: sum(x^2) - (sum x)^2/n
        for {set t 0} {$t < $n} {incr t} {
            set xval [getelem $X $t $r]
            set xmeansum [expr {$xmeansum + double($xval)}]
            set xsqrsum [expr {$xsqrsum + double($xval * $xval)}]
        }
        lappend xsqr [expr {$xsqrsum - $xmeansum * $xmeansum/$n}]
    }

    ## -- Set up the X'WX matrix
    set XtW [matmul [::math::linearalgebra::transpose $X] $W]
    set XtWX [matmul $XtW $X]

    # Invert
    set M [solveGauss $XtWX $I_x]

    set beta [matmul $M [matmul $XtW $y]]

    ### -- Residuals & R-squared
    # 1) Generate list of diagonals of the hat matrix
    set H [matmul $X [matmul $M $XtW]]
    for {set i 0} {$i < $n} {incr i} {
        lappend h_ii [getelem $H $i $i]
    }

    set R [matmul $sqrtW [matmul [sub $I_y $H] $y]]
    set yhat [matmul $H $y]

    # 2) Generate list of residuals, sum of squared residuals, r-squared
    set sstot 0.0
    set ssreg 0.0
    # Note: Relying on representation of Vector as a list for y, yhat
    foreach yval $y wt $w yhatval $yhat {
        set sstot [expr {$sstot + $wt * ($yval - $ymean) * ($yval - $ymean)}]
        set ssreg [expr {$ssreg + $wt * ($yhatval - $ymean) * ($yhatval - $ymean)}]
    }
    set r2 [expr {double($ssreg)/$sstot}]
    set adjr2 [expr {1.0 - (1.0 - $r2) * ($n - 1)/($n - $k)}]
    set sumsqresid [dotproduct $R $R]
    set s2 [expr {double($sumsqresid) / double($n - $k)}]

    ### -- Confidence intervals for coefficients
    set tvalue [tstat [expr {$n - $k}]]
    for {set i 0} {$i < $k} {incr i} {
        set stderr [expr {sqrt($s2 * [getelem $M $i $i])}]
        set mid [lindex $beta $i]
        lappend stderrs $stderr
        lappend confinterval [list [expr {$mid - $tvalue * $stderr}] [expr {$mid + $tvalue * $stderr}]]
    }

    return [list $r2 $adjr2 $beta $stderrs $confinterval]
}

/*  mv-ols --*/
/*      Ordinary Least Squares*/
/* */
/*  Arguments:*/
/*      data       List of observations, list of lists*/
/* */
/*  Result:*/
/*      List containing:*/
/*      * R-squared*/
/*      * Adjusted R-squared*/
/*      * Coefficients of x's in fit*/
/*      * Standard errors of the coefficients*/
/*      * 95% confidence bounds for coefficients*/
/* */
/*  Note:*/
/*      The observations are lists starting with the dependent variable y*/
/*      and then the values of the independent variables (x1, x2, ...):*/
/* */
/*      mv-ols [list y x's] [list y x's] ...*/
/* */
ret  ::math::statistics::mv-ols (type data) {
    set newdata {}
    foreach pt $data {
        lappend newdata 1 $pt
    }
    return [mv-wls $newdata]
}