[MATH-217] OLS regression should use QR decomposition

• Type: Improvement
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Affects Version/s: 2.0
• Fix Version/s: 2.0
• Assignee: Phil Steitz
• Reporter: Phil Steitz
• Created: 12/Jul/08 21:57
• Updated: 23/Apr/09 02:26
• Resolved: 05/Jan/09 01:03

Description

Inverting the normal equations to estimate OLS regression parameters does not give good numerics. The newly added QR decomposition implementation in commons math could be used to improve performance and numerics.