[Numpy-discussion] lstsq: masked arrays, weights, scaling, and covariance
Sat Sep 17 17:28:31 CDT 2011
I think this sounds like a great idea. The lowest level that makes sense is the correct place for them.
On Sep 17, 2011, at 1:52 PM, Charles R Harris wrote:
> Hi All,
> I'd like to start a discussion about modifications to lstsq to accommodate the new masked arrays and move weights, scaling, and covariance determination down to a lower common level. This is motivated by Travis' recent changes to polyfit as well as my own various polynomial fits that also allow weights. Also, once these features are pushed down to lstsq, it should be possible to push them down further into a c-wrapper for the LAPACK routines, which is where I really think they belong in the long run.
> Because missing values will effect the std/var/cov in the same way as weights of zero, I think support for missing values and weights go naturally together. Support for scaling and covariance are less closely tied, but they are both features I use all the time in practice and having them available will be useful. It might also be nice to change the return signature, though this would require a new function. I rather like the idea of returning the coefficients and a dictionary, where everything not a coefficient gets stuffed into the dictionary. In this regard see also Denis Laxalde's proposal, something we might want to be consistent with.
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