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<title>MADlib: Linear Regression</title>
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<div class="title">Linear Regression<div class="ingroups"><a class="el" href="group__grp__super.html">Supervised Learning</a> &raquo; <a class="el" href="group__grp__regml.html">Regression Models</a></div></div> </div>
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<div class="contents">
<div class="toc"><b>Contents</b> </p><ul>
<li class="level1">
<a href="#train">Training Function</a> </li>
<li class="level1">
<a href="#predict">Prediction Function</a> </li>
<li class="level1">
<a href="#examples">Examples</a> </li>
<li class="level1">
<a href="#background">Technical Background</a> </li>
<li class="level1">
<a href="#literature">Literature</a> </li>
<li class="level1">
<a href="#related">Related Topics</a> </li>
</ul>
</div><p>Linear regression models a linear relationship of a scalar dependent variable <img class="formulaInl" alt="$ y $" src="form_324.png"/> to one or more explanatory independent variables <img class="formulaInl" alt="$ x $" src="form_178.png"/> to build a model of coefficients.</p>
<p><a class="anchor" id="train"></a></p><dl class="section user"><dt>Training Function</dt><dd></dd></dl>
<p>The linear regression training function has the following syntax. </p><pre class="syntax">
linregr_train( source_table,
out_table,
dependent_varname,
independent_varname,
grouping_cols,
heteroskedasticity_option
)
</pre><p><b>Arguments</b> </p><dl class="arglist">
<dt>source_table </dt>
<dd><p class="startdd">TEXT. The name of the table containing the training data.</p>
<p class="enddd"></p>
</dd>
<dt>out_table </dt>
<dd><p class="startdd">TEXT. Name of the generated table containing the output model.</p>
<p>The output table contains the following columns. </p><table class="output">
<tr>
<th>&lt;...&gt; </th><td>Any grouping columns provided during training. Present only if the grouping option is used. </td></tr>
<tr>
<th>coef </th><td>FLOAT8[]. Vector of the coefficients of the regression. </td></tr>
<tr>
<th>r2 </th><td>FLOAT8. R-squared coefficient of determination of the model. </td></tr>
<tr>
<th>std_err </th><td>FLOAT8[]. Vector of the standard error of the coefficients. </td></tr>
<tr>
<th>t_stats </th><td>FLOAT8[]. Vector of the t-statistics of the coefficients. </td></tr>
<tr>
<th>p_values </th><td>FLOAT8[]. Vector of the p-values of the coefficients. </td></tr>
<tr>
<th>condition_no </th><td>FLOAT8 array. The condition number of the <img class="formulaInl" alt="$X^{*}X$" src="form_325.png"/> matrix. A high condition number is usually an indication that there may be some numeric instability in the result yielding a less reliable model. A high condition number often results when there is a significant amount of colinearity in the underlying design matrix, in which case other regression techniques, such as elastic net regression, may be more appropriate. </td></tr>
<tr>
<th>bp_stats </th><td>FLOAT8. The Breush-Pagan statistic of heteroskedacity. Present only if the heteroskedacity argument was set to True when the model was trained. </td></tr>
<tr>
<th>bp_p_value </th><td>FLOAT8. The Breush-Pagan calculated p-value. Present only if the heteroskedacity parameter was set to True when the model was trained. </td></tr>
<tr>
<th>num_rows_processed </th><td>INTEGER. The number of rows that are actually used in each group. </td></tr>
<tr>
<th>num_missing_rows_skipped </th><td>INTEGER. The number of rows that have NULL values in the dependent and independent variables, and were skipped in the computation for each group. </td></tr>
</table>
<p class="enddd">A summary table named &lt;out_table&gt;_summary is created together with the output table. It has the following columns: </p><table class="output">
<tr>
<th>source_table </th><td>The data source table name </td></tr>
<tr>
<th>out_table </th><td>The output table name </td></tr>
<tr>
<th>dependent_varname </th><td>The dependent variable </td></tr>
<tr>
<th>independent_varname </th><td>The independent variables </td></tr>
<tr>
<th>num_rows_processed </th><td>The total number of rows that were used in the computation. </td></tr>
<tr>
<th>num_missing_rows_skipped </th><td>The total number of rows that were skipped because of NULL values in them. </td></tr>
</table>
</dd>
<dt></dt>
<dd><dl class="section note"><dt>Note</dt><dd>For p-values, we just return the computation result directly. Other statistical packages, like 'R', produce the same result, but on printing the result to screen, another format function is used and any p-value that is smaller than the machine epsilon (the smallest positive floating-point number 'x' such that '1 + x != 1') will be printed on screen as "&lt; xxx" (xxx is the value of the machine epsilon). Although the result may look different, they are in fact the same. </dd></dl>
</dd>
<dt>dependent_varname </dt>
<dd><p class="startdd">TEXT. Expression to evaluate for the dependent variable.</p>
<p class="enddd"></p>
</dd>
<dt>independent_varname </dt>
<dd><p class="startdd">TEXT. Expression list to evaluate for the independent variables. An intercept variable is not assumed. It is common to provide an explicit intercept term by including a single constant <code>1</code> term in the independent variable list.</p>
<p class="enddd"></p>
</dd>
<dt>grouping_cols (optional) </dt>
<dd><p class="startdd">TEXT, default: NULL. An expression list used to group the input dataset into discrete groups, running one regression per group. Similar to the SQL <code>GROUP BY</code> clause. When this value is null, no grouping is used and a single result model is generated.</p>
<p class="enddd"></p>
</dd>
<dt>heteroskedasticity_option (optional) </dt>
<dd>BOOLEAN, default: FALSE. When TRUE, the heteroskedasticity of the model is also calculated and returned with the results. </dd>
</dl>
<p><a class="anchor" id="warning"></a></p><dl class="section warning"><dt>Warning</dt><dd>The aggregate 'linregr' has been deprecated in favor of the function 'linregr_train'. If the aggregate 'linregr' is used to output the results of linear regression to a table, it is recommended to follow the general pattern shown below (replace text within '&lt;...&gt;' with the appropriate variable names). <pre class="syntax">
CREATE TABLE &lt;output table&gt; AS
SELECT (r).*
FROM (
SELECT linregr(&lt;dependent variable&gt;, &lt;independent variable&gt;) as r
FROM &lt;source table&gt;
) q;
</pre></dd></dl>
<p><a class="anchor" id="predict"></a></p><dl class="section user"><dt>Prediction Function</dt><dd><pre class="syntax">
linregr_predict(coef, col_ind)
</pre> <b>Arguments</b> <dl class="arglist">
<dt>coef </dt>
<dd><p class="startdd">FLOAT8[]. Vector of the coefficients of regression.</p>
<p class="enddd"></p>
</dd>
<dt>col_ind </dt>
<dd><p class="startdd">FLOAT8[]. An array containing the independent variable column names. </p>
<p class="enddd"><a class="anchor" id="examples"></a></p>
</dd>
</dl>
</dd></dl>
<dl class="section user"><dt>Examples</dt><dd><ol type="1">
<li>Create an input data set. <pre class="example">
CREATE TABLE houses (id INT, tax INT, bedroom INT, bath FLOAT, price INT,
size INT, lot INT);
COPY houses FROM STDIN WITH DELIMITER '|';
1 | 590 | 2 | 1 | 50000 | 770 | 22100
2 | 1050 | 3 | 2 | 85000 | 1410 | 12000
3 | 20 | 3 | 1 | 22500 | 1060 | 3500
4 | 870 | 2 | 2 | 90000 | 1300 | 17500
5 | 1320 | 3 | 2 | 133000 | 1500 | 30000
6 | 1350 | 2 | 1 | 90500 | 820 | 25700
7 | 2790 | 3 | 2.5 | 260000 | 2130 | 25000
8 | 680 | 2 | 1 | 142500 | 1170 | 22000
9 | 1840 | 3 | 2 | 160000 | 1500 | 19000
10 | 3680 | 4 | 2 | 240000 | 2790 | 20000
11 | 1660 | 3 | 1 | 87000 | 1030 | 17500
12 | 1620 | 3 | 2 | 118600 | 1250 | 20000
13 | 3100 | 3 | 2 | 140000 | 1760 | 38000
14 | 2070 | 2 | 3 | 148000 | 1550 | 14000
15 | 650 | 3 | 1.5 | 65000 | 1450 | 12000
\.
</pre></li>
<li>Train a regression model. First, we generate a single regression for all data. <pre class="example">
SELECT madlib.linregr_train( 'houses',
'houses_linregr',
'price',
'ARRAY[1, tax, bath, size]'
);
</pre> (Note that in this example we are dynamically creating the array of independent variables from column names. If you have large numbers of independent variables beyond the PostgreSQL limit of maximum columns per table, you would pre-build the arrays and store them in a single column.)</li>
<li>Next we generate three output models, one for each value of "bedroom". <pre class="example">
SELECT madlib.linregr_train( 'houses',
'houses_linregr_bedroom',
'price',
'ARRAY[1, tax, bath, size]',
'bedroom'
);
</pre></li>
<li>Examine the resulting models. <pre class="example">
-- Set extended display on for easier reading of output
\x ON
SELECT * FROM houses_linregr;
</pre> Result: <pre class="result">
-[ RECORD 1 ]+---------------------------------------------------------------------------
coef | {-12849.4168959872,28.9613922651765,10181.6290712648,50.516894915354}
r2 | 0.768577580597443
std_err | {33453.0344331391,15.8992104963997,19437.7710925923,32.928023174087}
t_stats | {-0.38410317968819,1.82156166004184,0.523806408809133,1.53416118083605}
p_values | {0.708223134615422,0.0958005827189772,0.610804093526536,0.153235085548186}
condition_no | 9002.50457085737
</pre></li>
<li>View the results grouped by bedroom. <pre class="example">
SELECT * FROM houses_linregr_bedroom;
</pre> Result: <pre class="result">
-[ RECORD 1 ]+--------------------------------------------------------------------------
bedroom | 2
coef | {-84242.0345406597,55.4430144648696,-78966.9753675319,225.611910021192}
r2 | 0.968809546465313
std_err | {35018.9991665742,19.5731125320686,23036.8071292552,49.0448678148784}
t_stats | {-2.40560942761235,2.83261103077151,-3.42786111480046,4.60011251070697}
p_values | {0.250804617665239,0.21605133377602,0.180704400437373,0.136272031474122}
condition_no | 10086.1048721726
-[ RECORD 2 ]+--------------------------------------------------------------------------
bedroom | 4
coef | {0.0112536020318378,41.4132554771633,0.0225072040636757,31.3975496688276}
r2 | 1
std_err | {0,0,0,0}
t_stats | {Infinity,Infinity,Infinity,Infinity}
p_values |
condition_no | Infinity
-[ RECORD 3 ]+--------------------------------------------------------------------------
bedroom | 3
coef | {-88155.8292501601,27.1966436294429,41404.0293363612,62.637521075324}
r2 | 0.841699901311252
std_err | {57867.9999702625,17.8272309154689,43643.1321511114,70.8506824863954}
t_stats | {-1.52339512849005,1.52556747362508,0.948695185143966,0.884077878676067}
p_values | {0.188161432894871,0.187636685729869,0.386340032374927,0.417132778705789}
condition_no | 11722.6225642147
</pre> Alternatively you can unnest the results for easier reading of output. <pre class="example">
\x OFF
SELECT unnest(ARRAY['intercept','tax','bath','size']) as attribute,
unnest(coef) as coefficient,
unnest(std_err) as standard_error,
unnest(t_stats) as t_stat,
unnest(p_values) as pvalue
FROM houses_linregr;
</pre></li>
<li>Use the prediction function to evaluate residuals. <pre class="example">
SELECT houses.*,
madlib.linregr_predict( ARRAY[1,tax,bath,size],
m.coef
) as predict,
price -
madlib.linregr_predict( ARRAY[1,tax,bath,size],
m.coef
) as residual
FROM houses, houses_linregr m;
</pre></li>
</ol>
</dd></dl>
<p><a class="anchor" id="notes"></a></p><dl class="section user"><dt>Note</dt><dd>All table names can be optionally schema qualified (current_schemas() would be searched if a schema name is not provided) and all table and column names should follow case-sensitivity and quoting rules per the database. (For instance, 'mytable' and 'MyTable' both resolve to the same entity, i.e. 'mytable'. If mixed-case or multi-byte characters are desired for entity names then the string should be double-quoted; in this case the input would be '"MyTable"').</dd></dl>
<p><a class="anchor" id="background"></a></p><dl class="section user"><dt>Technical Background</dt><dd></dd></dl>
<p>Ordinary least-squares (OLS) linear regression refers to a stochastic model in which the conditional mean of the dependent variable (usually denoted <img class="formulaInl" alt="$ Y $" src="form_3.png"/>) is an affine function of the vector of independent variables (usually denoted <img class="formulaInl" alt="$ \boldsymbol x $" src="form_58.png"/>). That is, </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ E[Y \mid \boldsymbol x] = \boldsymbol c^T \boldsymbol x \]" src="form_326.png"/>
</p>
<p> for some unknown vector of coefficients <img class="formulaInl" alt="$ \boldsymbol c $" src="form_78.png"/>. The assumption is that the residuals are i.i.d. distributed Gaussians. That is, the (conditional) probability density of <img class="formulaInl" alt="$ Y $" src="form_3.png"/> is given by </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ f(y \mid \boldsymbol x) = \frac{1}{\sqrt{2 \pi \sigma^2}} \cdot \exp\left(-\frac{1}{2 \sigma^2} \cdot (y - \boldsymbol x^T \boldsymbol c)^2 \right) \,. \]" src="form_327.png"/>
</p>
<p> OLS linear regression finds the vector of coefficients <img class="formulaInl" alt="$ \boldsymbol c $" src="form_78.png"/> that maximizes the likelihood of the observations.</p>
<p>Let</p><ul>
<li><img class="formulaInl" alt="$ \boldsymbol y \in \mathbf R^n $" src="form_328.png"/> denote the vector of observed dependent variables, with <img class="formulaInl" alt="$ n $" src="form_10.png"/> rows, containing the observed values of the dependent variable,</li>
<li><img class="formulaInl" alt="$ X \in \mathbf R^{n \times k} $" src="form_98.png"/> denote the design matrix with <img class="formulaInl" alt="$ k $" src="form_97.png"/> columns and <img class="formulaInl" alt="$ n $" src="form_10.png"/> rows, containing all observed vectors of independent variables. <img class="formulaInl" alt="$ \boldsymbol x_i $" src="form_99.png"/> as rows,</li>
<li><img class="formulaInl" alt="$ X^T $" src="form_329.png"/> denote the transpose of <img class="formulaInl" alt="$ X $" src="form_2.png"/>,</li>
<li><img class="formulaInl" alt="$ X^+ $" src="form_330.png"/> denote the pseudo-inverse of <img class="formulaInl" alt="$ X $" src="form_2.png"/>.</li>
</ul>
<p>Maximizing the likelihood is equivalent to maximizing the log-likelihood <img class="formulaInl" alt="$ \sum_{i=1}^n \log f(y_i \mid \boldsymbol x_i) $" src="form_331.png"/>, which simplifies to minimizing the <b>residual sum of squares</b> <img class="formulaInl" alt="$ RSS $" src="form_332.png"/> (also called sum of squared residuals or sum of squared errors of prediction), </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ RSS = \sum_{i=1}^n ( y_i - \boldsymbol c^T \boldsymbol x_i )^2 = (\boldsymbol y - X \boldsymbol c)^T (\boldsymbol y - X \boldsymbol c) \,. \]" src="form_333.png"/>
</p>
<p> The first-order conditions yield that the <img class="formulaInl" alt="$ RSS $" src="form_332.png"/> is minimized at </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ \boldsymbol c = (X^T X)^+ X^T \boldsymbol y \,. \]" src="form_334.png"/>
</p>
<p>Computing the <b>total sum of squares</b> <img class="formulaInl" alt="$ TSS $" src="form_335.png"/>, the <b>explained sum of squares</b> <img class="formulaInl" alt="$ ESS $" src="form_336.png"/> (also called the regression sum of squares), and the <b>coefficient of determination</b> <img class="formulaInl" alt="$ R^2 $" src="form_337.png"/> is done according to the following formulas: </p><p class="formulaDsp">
<img class="formulaDsp" alt="\begin{align*} ESS &amp; = \boldsymbol y^T X \boldsymbol c - \frac{ \| y \|_1^2 }{n} \\ TSS &amp; = \sum_{i=1}^n y_i^2 - \frac{ \| y \|_1^2 }{n} \\ R^2 &amp; = \frac{ESS}{TSS} \end{align*}" src="form_338.png"/>
</p>
<p> Note: The last equality follows from the definition <img class="formulaInl" alt="$ R^2 = 1 - \frac{RSS}{TSS} $" src="form_339.png"/> and the fact that for linear regression <img class="formulaInl" alt="$ TSS = RSS + ESS $" src="form_340.png"/>. A proof of the latter can be found, e.g., at: <a href="http://en.wikipedia.org/wiki/Sum_of_squares">http://en.wikipedia.org/wiki/Sum_of_squares</a></p>
<p>We estimate the variance <img class="formulaInl" alt="$ Var[Y - \boldsymbol c^T \boldsymbol x \mid \boldsymbol x] $" src="form_341.png"/> as </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ \sigma^2 = \frac{RSS}{n - k} \]" src="form_342.png"/>
</p>
<p> and compute the t-statistic for coefficient <img class="formulaInl" alt="$ i $" src="form_32.png"/> as </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ t_i = \frac{c_i}{\sqrt{\sigma^2 \cdot \left( (X^T X)^{-1} \right)_{ii} }} \,. \]" src="form_343.png"/>
</p>
<p>The <img class="formulaInl" alt="$ p $" src="form_110.png"/>-value for coefficient <img class="formulaInl" alt="$ i $" src="form_32.png"/> gives the probability of seeing a value at least as extreme as the one observed, provided that the null hypothesis ( <img class="formulaInl" alt="$ c_i = 0 $" src="form_111.png"/>) is true. Letting <img class="formulaInl" alt="$ F_\nu $" src="form_344.png"/> denote the cumulative density function of student-t with <img class="formulaInl" alt="$ \nu $" src="form_274.png"/> degrees of freedom, the <img class="formulaInl" alt="$ p $" src="form_110.png"/>-value for coefficient <img class="formulaInl" alt="$ i $" src="form_32.png"/> is therefore </p><p class="formulaDsp">
<img class="formulaDsp" alt="\[ p_i = \Pr(|T| \geq |t_i|) = 2 \cdot (1 - F_{n - k}( |t_i| )) \]" src="form_345.png"/>
</p>
<p> where <img class="formulaInl" alt="$ T $" src="form_304.png"/> is a student-t distributed random variable with mean 0.</p>
<p>The condition number [2] <img class="formulaInl" alt="$ \kappa(X) = \|X\|_2\cdot\|X^{-1}\|_2$" src="form_346.png"/> is computed as the product of two spectral norms [3]. The spectral norm of a matrix <img class="formulaInl" alt="$X$" src="form_347.png"/> is the largest singular value of <img class="formulaInl" alt="$X$" src="form_347.png"/> i.e. the square root of the largest eigenvalue of the positive-semidefinite matrix <img class="formulaInl" alt="$X^{*}X$" src="form_325.png"/>:</p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ \|X\|_2 = \sqrt{\lambda_{\max}\left(X^{*}X\right)}\ , \]" src="form_348.png"/>
</p>
<p> where <img class="formulaInl" alt="$X^{*}$" src="form_349.png"/> is the conjugate transpose of <img class="formulaInl" alt="$X$" src="form_347.png"/>. The condition number of a linear regression problem is a worst-case measure of how sensitive the result is to small perturbations of the input. A large condition number (say, more than 1000) indicates the presence of significant multicollinearity.</p>
<p><a class="anchor" id="literature"></a></p><dl class="section user"><dt>Literature</dt><dd></dd></dl>
<p>[1] Cosma Shalizi: Statistics 36-350: Data Mining, Lecture Notes, 21 October 2009, <a href="http://www.stat.cmu.edu/~cshalizi/350/lectures/17/lecture-17.pdf">http://www.stat.cmu.edu/~cshalizi/350/lectures/17/lecture-17.pdf</a></p>
<p>[2] Wikipedia: Condition Number, <a href="http://en.wikipedia.org/wiki/Condition_number">http://en.wikipedia.org/wiki/Condition_number</a>.</p>
<p>[3] Wikipedia: Spectral Norm, <a href="http://en.wikipedia.org/wiki/Spectral_norm#Spectral_norm">http://en.wikipedia.org/wiki/Spectral_norm#Spectral_norm</a></p>
<p>[4] Wikipedia: Breusch–Pagan test, <a href="http://en.wikipedia.org/wiki/Breusch%E2%80%93Pagan_test">http://en.wikipedia.org/wiki/Breusch%E2%80%93Pagan_test</a></p>
<p>[5] Wikipedia: Heteroscedasticity-consistent standard errors, <a href="http://en.wikipedia.org/wiki/Heteroscedasticity-consistent_standard_errors">http://en.wikipedia.org/wiki/Heteroscedasticity-consistent_standard_errors</a></p>
<p><a class="anchor" id="related"></a></p><dl class="section user"><dt>Related Topics</dt><dd></dd></dl>
<p><a class="el" href="group__grp__robust.html">Robust Variance</a></p>
<p><a class="el" href="group__grp__clustered__errors.html">Clustered Variance</a></p>
<p><a class="el" href="group__grp__validation.html">Cross Validation</a></p>
<p>File <a class="el" href="linear_8sql__in.html" title="SQL functions for linear regression. ">linear.sql_in</a>, source file for the SQL functions</p>
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