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Opened 21 years ago

Closed 21 years ago

Last modified 18 years ago

#12 closed defect (fixed)

The Estimate function gives back a wrong standard deviation

Reported by: imendez Owned by: Víctor de Buen Remiro
Priority: high Milestone:
Component: Math Version: head
Severity: normal Keywords:
Cc:

Description

The Estimate function returns the norm instead of the standard deviation of the
residuals.

I have assigned the "TYPE_Set" component because the option "Estimate" does not
exist.

Change History (7)

comment:1 Changed 21 years ago by danirus

Owner: changed from danirus to jsperez

Estimation Engine Bug Report

comment:2 Changed 21 years ago by manuelb

Component: TYPE_Set → ESTIMATE

Moved to the new component "ESTIMATE".
Sorry for the inconvenience, imendez!

comment:3 Changed 21 years ago by Jorge

Owner: changed from jsperez to Víctor de Buen Remiro

reassigned to Victor

comment:4 Changed 21 years ago by Víctor de Buen Remiro

Status: new → assigned

comment:5 Changed 21 years ago by Víctor de Buen Remiro

Resolution: → fixed
Status: assigned → closed

In older versions of TOL the norm to be minimized was just the residuals
Frobenius norm. However this norm isn't now the same thing now.
So, there was an error in the reporting of the standard error at the end of
estimation.

At line 132 of file tol/btol/bmodel/estim.cpp, the assignement

M_->standardError_ = Sqrt(MtMSqr(M_->A_ )(0,0)/M_->A_.Rows());

solves the error.

comment:6 Changed 18 years ago by Víctor de Buen Remiro

bug_file_loc: → http://cvs.tol-project.org/viewcvs.cgi/tol_tests/tol/

comment:7 Changed 18 years ago by Víctor de Buen Remiro

bug_file_loc: http://cvs.tol-project.org/viewcvs.cgi/tol_tests/tol/ → http://cvs.tol-project.org/viewcvs.cgi/tol_tests/tol/ARIMA/FunEstimate/
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