Em Andamento

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 2.96 (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 = 1.34

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: variable programming, t&b, r linear programming, Programming with R, programming variable, pointer programming, int size c, float programming, float c programming, c programming pointer, beta programming, 3-4 linear programming, statistics R, statistics linear, regression, regression test, multivariate, linear, linear programming, gcc, B3, b2, polynomial regression php, redhat spec, function specification

Acerca do Empregador:
( 17 comentários ) Berwyn, United States

ID do Projeto: #2959760

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