[SciPy-User] scipy.stats.linregress

[josef.pktd at gmail.com]

On Tue, Feb 12, 2013 at 7:46 AM,  <josef.pktd at gmail.com> wrote:
> On Tue, Feb 12, 2013 at 7:37 AM,  <josef.pktd at gmail.com> wrote:
>> On Tue, Feb 12, 2013 at 7:19 AM, Jerome Kieffer <Jerome.Kieffer at esrf.fr> wrote:
>>> On Tue, 12 Feb 2013 11:55:31 +0100
>>> Daπid <davidmenhur at gmail.com> wrote:
>>>
>>>> This parameter is R**2, the square of R. You are computing it using the
>>>> squares of the residuals, so everything should be positive. If you get r
>>>> negative, something  has gone terribly wrong.
>>>
>>> In [3]: scipy.stats.linregress([1,2,3],[3,2,1])
>>> Out[3]: (-1.0, 4.0, -1.0, 9.0031759825137669e-11, 0.0)
>>>
>>> I am not very confident in my knowledge in statistics but here R = -1 and it does not look like an error.
>>> I implemented a method to perform thousands of linear regression and few of them returned -1.00001 (or so) which later gave NaN as stderr.
>>>
>>> so either the test should be:
>>> if (r*r > 1.0): r = r/abs(r)
>>> or:
>>> if (r > 1.0): r = 1
>>> elif (r < -1.0): r = -1
>>
>> The correlation coefficient that is reported is the signed
>> correlation, the docstring has an example that takes the square to get
>> R_squared.
>>
>> I don't know whether it's the R_squared, I need to check.
>
>>>> sm.OLS([1,2,3],sm.add_constant([3.1,2,1])).fit().rsquared
> 0.99924471299093653
>
>>>> stats.linregress([3.1,2,1], [1,2,3])[2]
> -0.99962228516121865
>>>> stats.linregress([3.1,2,1], [1,2,3])[2]**2
> 0.99924471299093676
>
> Josef
> Josef
>>
>> But because r is signed we should have the check r<-1 then -1

Volunteers for a pull request ?
and for checking that the test suite has a case with negative r, so
this doesn't get changed by accident.

Josef


>>
>> Josef
>>
>>>
>>> Cheers,
>>>
>>> --
>>> Jérôme Kieffer
>>> On-Line Data analysis / Software Group
>>> ISDD / ESRF
>>> tel +33 476 882 445
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