Linear regression

araripe · **Joined:** Mon Jul 04, 2011 2:06 pm **Posts:** 3

Hi,

I am performing some multiple linear regression with Alglib using lrbuild and lrunpack.
However, I didn't realize how to obtain the regression coefficient r2 and the standard deviation of each coefficient.

Any help?

Thank in advance

Alexandre Araripe
Federal University of Bahia
Physics Intitute
Brasil

Sergey.Bochkanov · **Joined:** Fri May 07, 2010 7:06 am **Posts:** 927

As for ALGLIB 3.4.0, such functionality is not supported. I understand that it is significant gap in the library, but these functions have lesser priority than other items. I hope that things will get better during second part of the year, when I will get more developers working on ALGLIB.

araripe · **Joined:** Mon Jul 04, 2011 2:06 pm **Posts:** 3

Thank you very much.
I will be connected and wainting for such changes.
By the way, congratulations for the good job you are done with AlgLib.

Alexandre Araripe
Federal University of Bahia
Physics Intitute
Brasil

rbeadie · **Joined:** Thu May 17, 2012 7:22 pm **Posts:** 1

Alexandre,

I was trying to solve the same issue, and I believe I have the answer to your problem. The lrreport that is returned includes a covariance matrix. The coefficient standard error is the square root of the diagonal element in that matrix.

i.e., the standard error of the jth coefficient is the [j,j] value in the covariance matrix.

hope this helps

araripe · **Joined:** Mon Jul 04, 2011 2:06 pm **Posts:** 3

I think this approach will be valuable.
Where can I find the math justification for this?
Thank you very much.
Araripe

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