Explained: ISlSerie;
Explained: Prognoz.Platform.Interop.Stat.ISlSerie;
The Explained property determines an explained series.
The number of observations in the explained series cannot be smaller than the number of estimated parameters.
Add a link to the Stat system assembly.
//Array output procedure
Sub Print(Data: Array Of Double; start: integer = 1);
Var
i: Integer;
Begin
debug.Indent;
For i := start - 1 To Data.Length - 1 Do
Debug.WriteLine(i.ToString + " " + Data[i].ToString);
End For;
debug.Unindent;
End Sub Print;
Sub UserProc;
Var
can, fra: Array[43] Of double;
i, j, res: integer;
str: string;
qreg: ISmQuantileRegression;
qMCI: IIntercept;
qMCC: ICoefficients;
Begin
qreg := New SmQuantileRegression.Create;
// Variable values
Can[0] := 6209; fra[0] := 4110;
Can[1] := 6385; fra[1] := 4280;
Can[2] := 6752; fra[2] := 4459;
Can[3] := 6837; fra[3] := 4545;
Can[4] := 6495; fra[4] := 4664;
Can[5] := 6907; fra[5] := 4861;
Can[6] := 7349; fra[6] := 5195;
Can[7] := 7213; fra[7] := 5389;
Can[8] := 7061; fra[8] := 5463;
Can[9] := 7180; fra[9] := 5610;
Can[10] := 7132; fra[10] := 5948;
Can[11] := 7137; fra[11] := 6218;
Can[12] := 7473; fra[12] := 6521;
Can[13] := 7722; fra[13] := 6788;
Can[14] := 8088; fra[14] := 7222;
Can[15] := 8516; fra[15] := 7486;
Can[16] := 8941; fra[16] := 7832;
Can[17] := 9064; fra[17] := 8153;
Can[18] := 9380; fra[18] := 8468;
Can[19] := 9746; fra[19] := 9054;
Can[20] := 9907; fra[20] := 9499;
Can[21] := 10333; fra[21] := 9866;
Can[22] := 10863; fra[22] := 10217;
Can[23] := 11693; fra[23] := 10763;
Can[24] := 12242; fra[24] := 10683;
Can[25] := 12227; fra[25] := 10494;
Can[26] := 12910; fra[26] := 10938;
Can[27] := 13049; fra[27] := 11198;
Can[28] := 13384; fra[28] := 11546;
Can[29] := 14036; fra[29] := 11865;
Can[30] := 14242;
Can[31] := 14704;
Can[32] := 13802;
Can[33] := 14197;
Can[34] := 15010;
Can[35] := 15589;
Can[36] := 15932;
Can[37] := 16631;
Can[38] := 17394;
Can[39] := 17758;
Can[40] := 17308;
Can[41] := 16444;
Can[42] := 16413;
// Sample period
qreg.ModelPeriod.FirstPoint := 1;
qreg.ModelPeriod.LastPoint := 30;
// Forecast variable
qreg.Forecast.LastPoint := 43;
// Select explained variable
qreg.Explained.Value := fra;
// Select regressors
qreg.Explanatories.Clear;
qreg.Explanatories.Add.Value := can;
// Constant in regressors
qreg.ModelCoefficients.Intercept.Mode := InterceptMode.AutoEstimate;
// Quantile level
qreg.Quantile := 0.3;
// Number of iterations
qreg.MaxIteration := 100;
// Missing data treatment method
qreg.MissingData.Method := MissingDataMethod.Casewise;
// Calculate and display results
res := qreg.Execute;
Debug.WriteLine(qreg.Errors);
For i := 0 To qreg.WarningsCount - 1 Do
Debug.WriteLine(qreg.Warnings[i]);
End For;
Debug.WriteLine("Constant: ");
qMCI := qreg.ModelCoefficients.Intercept;
Debug.WriteLine(qMCI.Estimate.ToString + " " + qMCI.StandardError.ToString + " " + qMCI.TStatistic.ToString + " " + qMCI.Probability.ToString);
Debug.WriteLine("Coefficient estimates:");
qMCC := qreg.ModelCoefficients.Coefficients;
For i := 0 To qreg.ModelCoefficients.Coefficients.Estimate.Length - 1 Do
Debug.WriteLine(qMCC.Estimate[i].ToString + " " + qMCC.StandardError[i].ToString + " " + qMCC.TStatistic[i].ToString + " " + qMCC.Probability[i].ToString);
End For;
Debug.WriteLine("Covariance matrix");
For i := 0 To qreg.CovarianceMatrix.GetUpperBound(1) Do
str := "";
For j := 0 To qreg.CovarianceMatrix.GetUpperBound(2) Do
str := str + " " + (qreg.CovarianceMatrix[i, j] As Double).ToString;
End For;
Debug.WriteLine(str);
End For;
Debug.WriteLine("Quantile regression characteristics");
Debug.Indent;
Debug.WriteLine("Determination pseudocoefficient: " + qreg.QRegStatistics.PseudoR2.ToString);
Debug.WriteLine("Adjusted determination coefficient: " + qreg.QRegStatistics.AdjR2.ToString);
Debug.WriteLine("Criterion function value: " + qreg.QRegStatistics.Objective.ToString);
Debug.WriteLine("Restricted criterion function value: " + qreg.QRegStatistics.RestrObjective.ToString);
Debug.WriteLine("Explained variable quantile: " + qreg.QRegStatistics.QDependentVar.ToString);
Debug.WriteLine("Observation sparcity: " + qreg.QRegStatistics.Sparsity.ToString);
Debug.UnIndent;
Debug.WriteLine("Summary statistics");
Debug.Indent;
Debug.WriteLine("Number of iterations, after which the method has converged: " + qreg.SummaryStatistics.NumOfIter.ToString);
Debug.WriteLine("Standard error: " + qreg.SummaryStatistics.SE.ToString);
Debug.WriteLine("Sum of squared residuals: " + qreg.SummaryStatistics.SSR.ToString);
Debug.UnIndent;
Debug.WriteLine("Modeling series");
Print(qreg.Fitted);
Debug.WriteLine("Residual series");
Print(qreg.Residuals);
Debug.WriteLine("Forecast");
Print(qreg.Forecast.Value, qreg.ModelPeriod.LastPoint + 1);
Debug.WriteLine("Lower forecast confidence limit");
Print(qreg.Forecast.LowerConfidenceLevel, qreg.ModelPeriod.LastPoint + 1);
Debug.WriteLine("Upper forecast confidence limit");
Print(qreg.Forecast.UpperConfidenceLevel, qreg.ModelPeriod.LastPoint + 1);
End Sub UserProc;
Result of example execution: the console window displays the results of quantile regression calculation.
The requirements and result of the Fore.NET example execution match with those in the Fore example.
Imports Prognoz.Platform.Interop.Stat;
…
Public Shared Sub Print(Data: system.Array);
Var
i: Integer;
Begin
For i := 0 To Data.Length - 1 Do
System.Diagnostics.Debug.WriteLine(i.ToString() + " " + Data.GetValue(i).ToString());
End For;
End Sub Print;
Public Shared Sub Main(Params: StartParams);
Var
can, fra: Array[43] Of double;
i, j, res: integer;
str: string;
qreg: ISmQuantileRegression;
qMCI: IIntercept;
qMCC: ICoefficients;
Begin
qreg := New SmQuantileRegression.Create();
// Variable values
Can[0] := 6209; fra[0] := 4110;
Can[1] := 6385; fra[1] := 4280;
Can[2] := 6752; fra[2] := 4459;
Can[3] := 6837; fra[3] := 4545;
Can[4] := 6495; fra[4] := 4664;
Can[5] := 6907; fra[5] := 4861;
Can[6] := 7349; fra[6] := 5195;
Can[7] := 7213; fra[7] := 5389;
Can[8] := 7061; fra[8] := 5463;
Can[9] := 7180; fra[9] := 5610;
Can[10] := 7132; fra[10] := 5948;
Can[11] := 7137; fra[11] := 6218;
Can[12] := 7473; fra[12] := 6521;
Can[13] := 7722; fra[13] := 6788;
Can[14] := 8088; fra[14] := 7222;
Can[15] := 8516; fra[15] := 7486;
Can[16] := 8941; fra[16] := 7832;
Can[17] := 9064; fra[17] := 8153;
Can[18] := 9380; fra[18] := 8468;
Can[19] := 9746; fra[19] := 9054;
Can[20] := 9907; fra[20] := 9499;
Can[21] := 10333; fra[21] := 9866;
Can[22] := 10863; fra[22] := 10217;
Can[23] := 11693; fra[23] := 10763;
Can[24] := 12242; fra[24] := 10683;
Can[25] := 12227; fra[25] := 10494;
Can[26] := 12910; fra[26] := 10938;
Can[27] := 13049; fra[27] := 11198;
Can[28] := 13384; fra[28] := 11546;
Can[29] := 14036; fra[29] := 11865;
Can[30] := 14242;
Can[31] := 14704;
Can[32] := 13802;
Can[33] := 14197;
Can[34] := 15010;
Can[35] := 15589;
Can[36] := 15932;
Can[37] := 16631;
Can[38] := 17394;
Can[39] := 17758;
Can[40] := 17308;
Can[41] := 16444;
Can[42] := 16413;
// Sample period
qreg.ModelPeriod.FirstPoint := 1;
qreg.ModelPeriod.LastPoint := 30;
// Forecast variable
qreg.Forecast.LastPoint := 43;
// Select explained variable
qreg.Explained.Value := fra;
// Select regressors
qreg.Explanatories.Clear();
qreg.Explanatories.Add().Value := can;
// Constant in regressors
qreg.ModelCoefficients.Intercept.Mode := InterceptMode.imAutoEstimate;
// Quantile level
qreg.Quantile := 0.3;
// Number of iterations
qreg.MaxIteration := 100;
// Missing data treatment method
qreg.MissingData.Method := MissingDataMethod.mdmCasewise;
// Calculate and display results
res := qreg.Execute();
System.Diagnostics.Debug.WriteLine(qreg.Errors);
For i := 0 To qreg.WarningsCount - 1 Do
System.Diagnostics.Debug.WriteLine(qreg.Warnings.GetValue(i));
End For;
System.Diagnostics.Debug.WriteLine("Constant: ");
qMCI := qreg.ModelCoefficients.Intercept;
System.Diagnostics.Debug.WriteLine(qMCI.Estimate.ToString() + " " + qMCI.StandardError.ToString() + " " + qMCI.TStatistic.ToString() + " " + qMCI.Probability.ToString());
System.Diagnostics.Debug.WriteLine("Coefficient estimates:");
qMCC := qreg.ModelCoefficients.Coefficients;
For i := 0 To qreg.ModelCoefficients.Coefficients.Estimate.Length - 1 Do
System.Diagnostics.Debug.WriteLine(qMCC.Estimate.GetValue(i).ToString() + " " + qMCC.StandardError.GetValue(i).ToString() + " " + qMCC.TStatistic.GetValue(i).ToString() + " " + qMCC.Probability.GetValue(i).ToString());
End For;
System.Diagnostics.Debug.WriteLine("Covariance matrix");
For i := 0 To qreg.CovarianceMatrix.GetUpperBound(1) Do
str := "";
For j := 0 To qreg.CovarianceMatrix.GetUpperBound(1) Do
str := str + " " + (qreg.CovarianceMatrix.GetValue(i, j) As Double).ToString();
End For;
System.Diagnostics.Debug.WriteLine(str);
End For;
System.Diagnostics.Debug.WriteLine("Quantile regression characteristics");
System.Diagnostics.Debug.Indent();
System.Diagnostics.Debug.WriteLine("Determination pseudocoefficient: " + qreg.QRegStatistics.PseudoR2.ToString());
System.Diagnostics.Debug.WriteLine("Adjusted determination coefficient: " + qreg.QRegStatistics.AdjR2.ToString());
System.Diagnostics.Debug.WriteLine("Criterion function value: " + qreg.QRegStatistics.Objective.ToString());
System.Diagnostics.Debug.WriteLine("Value of restricted criterion function: " + qreg.QRegStatistics.RestrObjective.ToString());
System.Diagnostics.Debug.WriteLine("Explained variable quantile: " + qreg.QRegStatistics.QDependentVar.ToString());
System.Diagnostics.Debug.WriteLine("Observation sparcity: " + qreg.QRegStatistics.Sparsity.ToString());
System.Diagnostics.Debug.UnIndent();
System.Diagnostics.Debug.WriteLine("Summary statistics");
System.Diagnostics.Debug.Indent();
System.Diagnostics.Debug.WriteLine("Number of iterations, after which the method has converged: " + qreg.SummaryStatistics.NumOfIter.ToString());
System.Diagnostics.Debug.WriteLine("Standard error: " + qreg.SummaryStatistics.SE.ToString());
System.Diagnostics.Debug.WriteLine("Sum of squared residuals: " + qreg.SummaryStatistics.SSR.ToString());
System.Diagnostics.Debug.UnIndent();
System.Diagnostics.Debug.WriteLine("Modeling series");
Print(qreg.Fitted);
System.Diagnostics.Debug.WriteLine("Residual series");
Print(qreg.Residuals);
System.Diagnostics.Debug.WriteLine("Forecast");
Print(qreg.Forecast.Value);
System.Diagnostics.Debug.WriteLine("Lower forecast confidence limit");
Print(qreg.Forecast.LowerConfidenceLevel);
System.Diagnostics.Debug.WriteLine("Upper forecast confidence limit");
Print(qreg.Forecast.UpperConfidenceLevel);
End Sub Main;
See also: