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Linear extension for polynomial regression #447

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Linear extension for polynomial regression #447

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13 changes: 8 additions & 5 deletions src/transformations/linear.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -3,12 +3,15 @@ Base.@kwdef struct LinearAnalysis{I}
dropcollinear::Bool=false
interval::I=automatic
level::Float64=0.95
degree::Int=1
end

function add_intercept_column(x::AbstractVector{T}) where {T}
mat = similar(x, float(T), (length(x), 2))
function make_design_matrix(x::AbstractVector{T}, d::Int) where {T}
mat = similar(x, float(T), (length(x), d+1))
fill!(view(mat, :, 1), 1)
copyto!(view(mat, :, 2), x)
for i in 1:d
copyto!(view(mat, :, i+1), x .^ i)
end
return mat
end

Expand All @@ -20,9 +23,9 @@ function (l::LinearAnalysis)(input::ProcessedLayer)
default_interval = length(weights) > 0 ? nothing : :confidence
interval = l.interval === automatic ? default_interval : l.interval
# FIXME: handle collinear case gracefully
lin_model = GLM.lm(add_intercept_column(x), y; wts=weights, l.dropcollinear)
lin_model = GLM.lm(make_design_matrix(x, l.degree), y; wts=weights, l.dropcollinear)
x̂ = range(extrema(x)..., length=l.npoints)
pred = GLM.predict(lin_model, add_intercept_column(x̂); interval, l.level)
pred = GLM.predict(lin_model, make_design_matrix(x̂, l.degree); interval, l.level)
return if !isnothing(interval)
ŷ, lower, upper = pred
(x̂, ŷ), (; lower, upper)
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