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add wegithed least squares approach #62

Merged
merged 34 commits into from
Apr 2, 2020
Merged

add wegithed least squares approach #62

merged 34 commits into from
Apr 2, 2020

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cjekel
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@cjekel cjekel commented Feb 6, 2020

@vkhodygo Can your review this and let me know if it address your desire in #60 ?

This approach uses this math:
image

Example of difference between ordinary pwlf and this weighted least squares fit
image

What is needed to merge into master

  • make work with constrained least squares (x_c y_c) abandoned because of ill conditioning
  • add tests
  • add written example to examples.md
  • ~~ include weights in standard_errors? (not sure about this Feb 11, 2020)~~ Prediction variance with weights doesn't make any sense... but I added weights to standard errors.

@cjekel
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cjekel commented Feb 7, 2020

I corrected the weighted sum-of-square of residuals in this equation
image

@vkhodygo
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vkhodygo commented Feb 18, 2020

Hi, @cjekel

Yes, this is exactly what I wanted. I should probably close my initial PR as redundant.
P.S. do you need a hand with this?

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cjekel commented Feb 21, 2020

@vkhodygo Not sure when I'll get to finishing this.

The biggest things will be getting constrained least squares to work and getting standard errors to work.

If you want to take a stab at finishing this PR, feel free to go ahead! :) I have no hard deadline for merging this.

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cjekel commented Mar 4, 2020

  • Consider allowing the user to manually specify the weight matrix from Tyler @ UT Austin

Edit: March 2020, going to abandon weight matrix support for now, as this is just extra work for me...

@cjekel cjekel merged commit 43dc861 into master Apr 2, 2020
@cjekel cjekel deleted the weights branch April 2, 2020 22:29
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2 participants