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regression knocked out
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src/MLJMultivariateStatsInterface.jl

Lines changed: 18 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -406,15 +406,15 @@ X = augment_X(randn(100, 80), true)
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y = X * θ
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X, y = map(x -> DataFrame(x, :auto), (X, y))
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linear_regressor = LinearRegressor()
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mach = machine(linear_regressor, X, y) |> fit!
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llsq_coef = fitted_params(mach).coefficients
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ridge_regressor = RidgeRegressor(lambda=0)
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ridge_mach = machine(ridge_regressor, X, y) |> fit!
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coef = fitted_params(ridge_mach).coefficients
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difference = llsq_coef - coef
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@info "difference between λ=0 ridge and llsq" mean(difference) std(difference)
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# linear_regressor = LinearRegressor() # positive semi definite error for cholesky :(
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# mach = machine(linear_regressor, X, y) |> fit!
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# llsq_coef = fitted_params(mach).coefficients
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#
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# ridge_regressor = RidgeRegressor(lambda=0)
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# ridge_mach = machine(ridge_regressor, X, y) |> fit!
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# coef = fitted_params(ridge_mach).coefficients
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# difference = llsq_coef - coef
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# @info "difference between λ=0 ridge and llsq" mean(difference) std(difference)
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ridge_regressor = RidgeRegressor(lambda=1.5)
@@ -429,4 +429,13 @@ TODO: ADD REFERENCES
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"""
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MultitargetRidgeRegressor
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PCA
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KernelPCA
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ICA
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LDA
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BayesianLDA
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SubspaceLDA
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BayesianSubspaceLDA
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FactorAnalysis
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PPCA
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end

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