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Multivariate Linear Regression with T-Stats

Specification:

A single C++ source-file implementing the following function:

float Multivariate_Regression(float x[][], float y[], int n, int x_count, float& a, float& b[], float& t_stat[])

Function performs standard least-squares multivariate regression of y against x.

Return value is R2 of regression.

x_count is number of x variables.

n is number of data points for each x and y variable.

a is the intercept, passed by reference.

b[] are the regression betas, a pointer to a pre-allocated array of size x_count.

t_stat[] are the T-statistics of each beta, a pointer to a pre-allocated array of size x_count.

Performance must be polynomial-time -- O(n^2) unless otherwise approved.

Source code must be comprehensible to a typical C++ developer.

***************

Please compute standard error as well.

I have agreed to accept the function if it compiles under gcc [url removed, login to view] (I'm using Redhat 7.2). I.e., if you cannot test it under VC++ that is not necessary.

Just to clarify the spec: The function must fill in the variables std_error, a, b[], and t_stat[] in addition to returning r-squared.

Here is a test data set:

y x1 x2 x3

1 2 4 1

2 2 2 3

3 2 3 1

4 1 2 4

5 1 2 5

R2 = .82

Standard Error = [url removed, login to view]

a = 11.1

b1 = [url removed, login to view]

b2 = [url removed, login to view]

b3 = [url removed, login to view]

t1 = [url removed, login to view]

t2 = [url removed, login to view]

t3 = [url removed, login to view]

## Deliverables

1) Source file as specified.

2) Unrestricted ownership and use rights of code.

## Platform

Must compile under MS Visual C++ and Linux G++.

Habilidades: Programação C, Engenharia, MySQL, PHP, Arquitetura de software, Teste de Software

Ver mais: programming variable, pointer programming, int size, float programming, programming pointer, beta programming, statistics r, statistics linear, regression, regression test, multivariate, linear, linear programming, gcc, b3, b2, polynomial regression php, redhat spec, function specification, unrestricted, polynomial regression source code, linear function, function linear, programming statistics, statistics linear regression

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( 17 comentários ) Berwyn, United States

ID do Projeto: #2959760

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