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linear-regression

LinearRegression for Crystal computes a linear least squares regression line (linear correlation).

The computation is performed in linear time, proportional to the length of the input data.

LinearRegression is currently used in production on Total Real Returns.

Installation

  1. Add the dependency to your shard.yml:
dependencies:
  linear-regression:
    github: compumike/linear-regression
  1. Run shards install

Usage

require "linear-regression"

linreg = LinearRegression.new([-1.0, 0.0, 1.0], [4.0, 4.0, 5.0])

# Examine properties of the fit:
linreg.slope                # 0.5
linreg.intercept            # 4.33333333
linreg.pearson_r            # 0.8660254038
linreg.pearson_r_squared    # 0.75

# Evaluate the regression line at a given x coordinate:
linreg.at(0.0)              # 4.33333333
linreg.at(10.0)             # 9.33333333

# Serialize and deserialize the fit: (does not serialize raw data points)
j = linreg.to_json          # '{"n":3,...}'
linreg2 = LinearRegression.from_json(j)
linreg2.slope               # 0.5

Development

Run ./d_dev to bring up a docker container for development, where you can easily run:

make spec     # to run unit tests

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