Does anyone know of a scientific/mathematical library in Java that has a straightforward implementation of weighted linear regression? Something along the lines of a function that takes 3 arguments and returns the corresponding coefficients:
linearRegression(x,y,weights)
This seems fairly straightforward, so I imagine it exists somewhere.
PS) I’ve tried Flannigan’s library: http://www.ee.ucl.ac.uk/~mflanaga/java/Regression.html, it has the right idea but seems to crash sporadically and complain out my degrees of freedom?
Not a library, but the code is posted: http://www.codeproject.com/KB/recipes/LinReg.aspx
(and includes the mathematical explanation for the code, which is a huge plus).
Also, it seems that there is another implementation of the same algorithm here: http://sin-memories.blogspot.com/2009/04/weighted-linear-regression-in-java-and.html
Finally, there is a lib from a University in New Zealand that seems to have it implemented: http://www.cs.waikato.ac.nz/~ml/weka/ (pretty decent javadocs). The specific method is described here:
http://weka.sourceforge.net/doc/weka/classifiers/functions/LinearRegression.html