SQL functions for linear regression.
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void | linregr_train (varchar source_table, varchar out_table, varchar dependent_varname, varchar independent_varname, varchar grouping_cols, boolean heteroskedasticity_option) |
| Linear regression training function with grouping support. More...
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void | linregr_train (varchar source_table, varchar out_table, varchar dependent_varname, varchar independent_varname, varchar grouping_cols) |
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void | linregr_train (varchar source_table, varchar out_table, varchar dependent_varname, varchar independent_varname) |
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varchar | linregr_train () |
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varchar | linregr_train (varchar message) |
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bytea8 | linregr_transition (bytea8 state, float8 y, float8[] x) |
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bytea8 | linregr_merge_states (bytea8 state1, bytea8 state2) |
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linregr_result | linregr_final (bytea8 state) |
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bytea8 | hetero_linregr_transition (bytea8 state, float8 y, float8[] x, float8[] coef) |
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bytea8 | hetero_linregr_merge_states (bytea8 state1, bytea8 state2) |
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heteroskedasticity_test_result | hetero_linregr_final (bytea8 state) |
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aggregate bytea8 | linregr (float8 dependentVariable, float8[] independentVariables) |
| Compute linear regression coefficients and diagnostic statistics. More...
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aggregate bytea8 | heteroskedasticity_test_linregr (float8 dependentVariable, float8[] independentVariables, float8[] olsCoefficients) |
| Compute studentized Breuch-Pagan heteroskedasticity test for linear regression. More...
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float8 | linregr_predict (float8[] coef, float8[] col_ind_var) |
| Predict the boolean value of a dependent variable for a specific independent variable value in a linear regression model. More...
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text | linregr_predict (text message) |
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text | linregr_predict () |
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- Date
- January 2011
- See also
- For a brief introduction to linear regression, see the module description Linear Regression.
◆ hetero_linregr_final()
heteroskedasticity_test_result hetero_linregr_final |
( |
bytea8 |
state | ) |
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◆ hetero_linregr_merge_states()
bytea8 hetero_linregr_merge_states |
( |
bytea8 |
state1, |
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bytea8 |
state2 |
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) |
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◆ hetero_linregr_transition()
bytea8 hetero_linregr_transition |
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bytea8 |
state, |
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float8 |
y, |
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float8 [] |
x, |
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float8 [] |
coef |
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) |
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◆ heteroskedasticity_test_linregr()
aggregate bytea8 heteroskedasticity_test_linregr |
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float8 |
dependentVariable, |
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float8 [] |
independentVariables, |
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float8 [] |
olsCoefficients |
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) |
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- Parameters
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dependentVariable | Column containing the dependent variable |
independentVariables | Column containing the array of independent variables |
olsCoefficients | Column containing the array of the OLS coefficients (as obtained by linregr) |
- To include an intercept in the model, set one coordinate in the
independentVariables
array to 1.
- Returns
- A composite value:
test_statistic FLOAT8[]
- Prob > test_statistc
p_value FLOAT8[]
- Prob > test_statistc
- Usage
SELECT (heteoskedasticity_test_linregr(dependentVariable,
independentVariables, coef)).*
FROM (
SELECT linregr(dependentVariable, independentVariables).coef
) AS ols_coef, sourceName as src;
◆ linregr()
aggregate bytea8 linregr |
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float8 |
dependentVariable, |
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float8 [] |
independentVariables |
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) |
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- Parameters
-
dependentVariable | Column containing the dependent variable |
independentVariables | Column containing the array of independent variables |
- To include an intercept in the model, set one coordinate in the
independentVariables
array to 1.
- Returns
- A composite value:
coef FLOAT8[]
- Array of coefficients,
r2 FLOAT8
- Coefficient of determination,
std_err FLOAT8[]
- Array of standard errors,
t_stats FLOAT8[]
- Array of t-statistics,
p_values FLOAT8[]
- Array of p-values,
condition_no FLOAT8
- The condition number of matrix .
- Usage
- Get vector of coefficients and all diagnostic statistics:
SELECT (linregr(dependentVariable,
independentVariables)).*
FROM sourceName;
- Get vector of coefficients :
SELECT (linregr(dependentVariable,
independentVariables)).coef
FROM sourceName;
- Get a subset of the output columns, e.g., only the array of coefficients , the coefficient of determination , and the array of p-values :
SELECT (lr).coef, (lr).r2, (lr).p_values
FROM (
SELECT linregr( dependentVariable,
independentVariables) AS lr
FROM sourceName
) AS subq;
◆ linregr_final()
linregr_result linregr_final |
( |
bytea8 |
state | ) |
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◆ linregr_merge_states()
bytea8 linregr_merge_states |
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bytea8 |
state1, |
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bytea8 |
state2 |
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) |
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◆ linregr_predict() [1/3]
float8 linregr_predict |
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float8 [] |
coef, |
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float8 [] |
col_ind_var |
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) |
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- Parameters
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coef | Coefficients obtained by running linear regression. |
col_ind | Independent variable array |
- Returns
- DOUBLE PRECISION Predicted value
This function computes the dot product of the independent variables and the coefficients. This requires the length of the two vectors to be the same.
◆ linregr_predict() [2/3]
text linregr_predict |
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text |
message | ) |
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◆ linregr_predict() [3/3]
◆ linregr_train() [1/5]
void linregr_train |
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varchar |
source_table, |
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varchar |
out_table, |
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varchar |
dependent_varname, |
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varchar |
independent_varname, |
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varchar |
grouping_cols, |
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boolean |
heteroskedasticity_option |
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) |
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◆ linregr_train() [2/5]
void linregr_train |
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varchar |
source_table, |
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varchar |
out_table, |
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varchar |
dependent_varname, |
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varchar |
independent_varname, |
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varchar |
grouping_cols |
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) |
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◆ linregr_train() [3/5]
void linregr_train |
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varchar |
source_table, |
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varchar |
out_table, |
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varchar |
dependent_varname, |
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varchar |
independent_varname |
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) |
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◆ linregr_train() [4/5]
varchar linregr_train |
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◆ linregr_train() [5/5]
varchar linregr_train |
( |
varchar |
message | ) |
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◆ linregr_transition()
bytea8 linregr_transition |
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bytea8 |
state, |
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float8 |
y, |
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float8 [] |
x |
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) |
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