python回归分析学习笔记3

方程形式：$Y=X\beta +\epsilon$

from sklearn import linear_model
import numpy as np

factor_n = 3
sample_n = 50
np.random.seed(100)
x = np.random.rand(sample_n, factor_n)
sigma = np.random.normal(size=sample_n)
y = 5 * x[:, 0] + 10 * x[:, 1] - 8 * x[:, 2] + 0.5 * sigma

model = linear_model.LinearRegression().fit(x, y)
print("sklearn.linear_model")
print(model.intercept_)
print(model.coef_)

import statsmodels.api as sm
# sklearn中会自动加常数项，statasmodel需要主动调用add_constant
x_add = sm.add_constant(x)
model = sm.OLS(y, x_add).fit()
print("statsmodel.api.OLS:", model.params[:])

import numpy as np
m = np.linalg.inv(np.dot(np.transpose(x_add), x_add))
param = np.dot(np.dot(m, np.transpose(x_add)), y)
print("矩阵相乘:", param)

import cvxopt.solvers as sol
from cvxopt import matrix as mat

P = 2 * np.dot(np.transpose(x_add), x_add)
Q = - 2 * np.dot(np.transpose(x_add), y)
P = mat(P)
Q = mat(Q)
result = sol.qp(P, Q)
print("二次优化", list(result['x'][:]))