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This document helps you understand polyfitn

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John R. D'Errico

woodchips@rochester.rr.com

8/8/06

Regression modeling

polynomial regression model using traditional linear least squares

techniques, with some care applied in the solution. The method chosen

for its solution is one that also yields standard errors for the

coefficients.

Draper, N.R., Smith, H.; "Applied Regression Analysis"; John Wiley &

Sons

Care has been taken in the numerical methods of polyfitn, first by use

of a QR factorization with pivoting to solve the system. This is more

stable than the simple, unpivoted QR. I've also used automatic variable

scaling to deal with a simple cause of ill-conditioning.

specified, the estimation procedure is itself rather simple. The problem

becomes that of estimation of the vector x, given the linear system of

equations

A*x = y

should be both nonsingular and have more rows than columns.

Problems with fewer rows than columns are called underdetermined.

I'd strongly recommend that you get more data if there are fewer data

points than parameters to estimate.

So, assuming that A is an nxp matrix, with n>p, we can solve this

system via many different approaches in Matlab. I'll outline the method

I chose, as well as what I've done to assure the the best parameter

estimates possible.

linear regression model are

- Backslash (\)

- PINV

- LSQR

- The normal equations, i.e., x = (A' * A)\(A' * y)

- QR decomposition

- Pivoted QR decomposition

directly yield estimated variances for the parameters. A pivoted QR is

also reasonably efficient, as well as numerically stable, so I chose this

method.

Given the design matrix A in the above expression, the first task is to

scale it so that all columns have unit mean. While I'd like to introduce

a shift also for the best possible estimates, this is not possible for a

general multinomial model, as it may introduce additional terms into

the model. For example, suppose the polynomial model we must

estimate is

y = a1*x + a2*x^2

then we have implicitly inserted a constant term into the model which

was not requested. So all that is done is a scaling of the matrix A.

Essentially, we solve the problem

A*D*inv(D)*x = y

D = diag(1./mean(A,1));

If we write

z = inv(D)*x

(A*D)*z = y

dependent columns in A. I'll use an extreme example to illustrate what

might happen otherwise. Consider an under-determined linear

regression problem:

n = 50;

X = randn(n,3);

X = X(:,[1 2 2 3]);

Note that the third column is actually just a copy of the second

column. Now, generate Y as the simple sum of columns [1 2 4] of X.

Y = X*[1;1;0;1] + randn(n,1)/100000;

Can we estimate

this array corresponds to an independent variable. If a vector,

- A vector of dependent variable values.

- A model specification

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