Question: Does the linear regression class consider weights?

[Aliciawyse]

Hey there!

This is an awesome library -- thank you!

Quick question... In python, I can call .fit on a linear regression and pass it a sample_weight (as seen here https://scikit-learn.org/stable/modules/generated/sklearn.linear_model.LinearRegression.html#sklearn.linear_model.LinearRegression.fit).

I've been reading your code here https://github.com/ankane/eps/blob/master/lib/eps/linear_regression.rb and I don't see if there's a way to incorporate weights. Is this possible?

[ankane]

Hey @Aliciawyse, weights aren't currently supported right now, but happy to review a PR.

[Aliciawyse]

Hey there @ankane thanks for the feedback!

Another quick question... Can your code do multivariable linear regression?

[Aliciawyse]

Ah, I see that it does here.

eps/test/linear_regression_test.rb

Line 78 in aa9c84a

def test_multiple_regression

👍

[ankane]

Just added weights to LightGBM, so it should be a bit easier to add it to the other algorithms.

[ankane]

Sorry for the noise. Weighted OLS is now on master 🎉

Eps::Model.new(data, weight: [1, 2, 3])  # pass an array
Eps::Model.new(data, weight: :weight)    # or a key in data

[Aliciawyse]

Oh snaps! This is great! Thanks @ankane 💯 Giving this a try today!