[MATH-203] Add general multiple linear regression

• Type: New Feature
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Fix Version/s: 2.0
• Assignee: Unassigned
• Reporter: Mauro Talevi
• Created: 27/Apr/08 22:55
• Updated: 23/Apr/09 02:26
• Resolved: 21/May/08 12:14

Description

Multiple regression is a fundamental element of several mathematical and statistical projects, among them econometrics one. A general linear multiple regression is contained in the JET Regression component at http://jet.codehaus.org/javadoc/jet-regression, but it could benefit a wider community if it was part of commons-math.

The regression component has no external dependency outside of commons-math.

Code for OLS and GLS multiple linear regression can be checked out from https://svn.codehaus.org/jet/trunk/jet-regression.

If this is of interest, I'll re-package the code to live in org.apache.commons.math.stat.regression.