/*************************************************************************/ /* gauss_markov_checker.cpp */ /*************************************************************************/ /* This file is part of: */ /* PMLPP Machine Learning Library */ /* https://github.com/Relintai/pmlpp */ /*************************************************************************/ /* Copyright (c) 2023-present Péter Magyar. */ /* Copyright (c) 2022-2023 Marc Melikyan */ /* */ /* Permission is hereby granted, free of charge, to any person obtaining */ /* a copy of this software and associated documentation files (the */ /* "Software"), to deal in the Software without restriction, including */ /* without limitation the rights to use, copy, modify, merge, publish, */ /* distribute, sublicense, and/or sell copies of the Software, and to */ /* permit persons to whom the Software is furnished to do so, subject to */ /* the following conditions: */ /* */ /* The above copyright notice and this permission notice shall be */ /* included in all copies or substantial portions of the Software. */ /* */ /* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, */ /* EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF */ /* MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.*/ /* IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY */ /* CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, */ /* TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE */ /* SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. */ /*************************************************************************/ #include "gauss_markov_checker.h" #include "../stat/stat.h" #include /* void MLPPGaussMarkovChecker::checkGMConditions(std::vector eps) { bool condition1 = arithmeticMean(eps); bool condition2 = homoscedasticity(eps); bool condition3 = exogeneity(eps); if (condition1 && condition2 && condition3) { std::cout << "Gauss-Markov conditions were not violated. You may use OLS to obtain a BLUE estimator" << std::endl; } else { std::cout << "A test of the expected value of 0 of the error terms returned " << std::boolalpha << condition1 << ", a test of homoscedasticity has returned " << std::boolalpha << condition2 << ", and a test of exogenity has returned " << std::boolalpha << "." << std::endl; } } bool MLPPGaussMarkovChecker::arithmeticMean(std::vector eps) { MLPPStat stat; if (stat.mean(eps) == 0) { return true; } else { return false; } } bool MLPPGaussMarkovChecker::homoscedasticity(std::vector eps) { MLPPStat stat; real_t currentVar = (eps[0] - stat.mean(eps)) * (eps[0] - stat.mean(eps)) / eps.size(); for (uint32_t i = 0; i < eps.size(); i++) { if (currentVar != (eps[i] - stat.mean(eps)) * (eps[i] - stat.mean(eps)) / eps.size()) { return false; } } return true; } bool MLPPGaussMarkovChecker::exogeneity(std::vector eps) { MLPPStat stat; for (uint32_t i = 0; i < eps.size(); i++) { for (uint32_t j = 0; j < eps.size(); j++) { if (i != j) { if ((eps[i] - stat.mean(eps)) * (eps[j] - stat.mean(eps)) / eps.size() != 0) { return false; } } } } return true; } */ void MLPPGaussMarkovChecker::_bind_methods() { }