[Haskell-cafe] Is there a module for multivariate linear
regression?
Lihn, Steve
horng_twu_lihn at merck.com
Mon Nov 5 14:14:09 EST 2007
I found an first-order implementation in hstats (linreg, see below)
while inspecting its source code.
http://www.sftank.net/code/hstats/src/Math/Statistics.hs
But, for some reason, it does not show up in the documentation (not
released yet) !?
http://hackage.haskell.org/packages/archive/hstats/0.2/doc/html/Math-Sta
tistics.html
------------------------------------------------------------------------
--
-- |Least-squares linear regression of /y/ against /x/ for a
-- |collection of (/x/, /y/) data, in the form of (/b0/, /b1/, /r/)
-- |where the regression is /y/ = /b0/ + /b1/ * /x/ with Pearson
-- |coefficient /r/
linreg :: (Floating b) => [(b, b)] -> (b, b, b)
linreg xys = let !xs = map fst xys
!ys = map snd xys
!n = fromIntegral $ length xys
!sX = sum xs
!sY = sum ys
!sXX = sum $ map (^ 2) xs
!sXY = sum $ map (uncurry (*)) xys
!sYY = sum $ map (^ 2) ys
!alpha = (sY - beta * sX) / n
!beta = (n * sXY - sX * sY) / (n * sXX - sX * sX)
!r = (n * sXY - sX * sY) / (sqrt $ (n * sXX - sX^2) *
(n * sYY - sY ^ 2))
in (alpha, beta, r)
-----Original Message-----
Don,
I checked most of them, but did not find anything close.
Hstats seems to be the right place, but no, it does not contain such
function.
It only contains predictive functions in statistics, but there is no
best-fit type of functions. I can calculate Sharpe ratio from it, but I
can not calculate the alpha and beta between two indexes/funds.
http://haskell.org/haskellwiki/Applications_and_libraries/Mathematics
FYI -- Under 2.8, HaskellMath links to a 404 page.
> this does sound like fairly easy to package up as a new module,
though, if you're keen..
This may be the only alternative if nothing obvious comes up...
Thanks,
Steve
-----Original Message-----
> I am looking for a Haskell module that will do multivariate linear
> regression. Does someone know which module will do it? That is, the
> equivalent of Perl's Statistics::Regression.pm.
>
>
[1]http://search.cpan.org/~itub/PerlMol-0.35_00.ppm/lib/Statistics/Regre
ssion.pm
>
> Thanks,
> Steve
>
Always check hackage.haskell.org first, but I'm not sure
we have exactly what you're looking for:
http://hackage.haskell.org/packages/archive/pkg-list.html#cat:Math
in which case the backup is :
http://haskell.org/haskellwiki/Applications_and_libraries/Mathematics
this does sound like fairly easy to package up as a new module, though,
if you're keen..
-- Don
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