ols_linear_multiple_regression.c

#include <stdio.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_math.h>
#include <gsl/gsl_multifit.h>

/* Interest rate */
double r[] = { 2.75, 2.5, 2.5, 2.5, 2.5, 2.5, 2.5, 2.25,
               2.25, 2.25, 2,2, 2, 1.75, 1.75, 1.75, 1.75,
               1.75, 1.75, 1.75, 1.75, 1.75, 1.75, 1.75 };
/* Unemployment rate */
double u[] = { 5.3, 5.3, 5.3, 5.3, 5.4, 5.6, 5.5, 5.5,
               5.5, 5.6, 5.7, 5.9, 6, 5.9, 5.8, 6.1,
               6.2, 6.1, 6.1, 6.1, 5.9, 6.2, 6.2, 6.1 };
/* Stock index price */
double s[] = { 1464, 1394, 1357, 1293, 1256, 1254, 1234,
               1195, 1159, 1167, 1130, 1075, 1047, 965, 943,
               958, 971, 949, 884, 866, 876, 822, 704, 719 };

int main()
{
	int n = sizeof(r)/sizeof(double);
	gsl_matrix *X = gsl_matrix_calloc(n, 3);
	gsl_vector *Y = gsl_vector_alloc(n);
	gsl_vector *beta = gsl_vector_alloc(3);

	for (int i = 0; i < n; i++) {
		gsl_vector_set(Y, i, s[i]);

		gsl_matrix_set(X, i, 0, 1);
		gsl_matrix_set(X, i, 1, r[i]);
		gsl_matrix_set(X, i, 2, u[i]);
	}

	double chisq;
	gsl_matrix *cov = gsl_matrix_alloc(3, 3);
	gsl_multifit_linear_workspace * wspc = gsl_multifit_linear_alloc(n, 3);
	gsl_multifit_linear(X, Y, beta, cov, &chisq, wspc);

	printf("Beta:");
	for (int i = 0; i < 3; i++)
		printf("  %g", gsl_vector_get(beta, i));
	printf("\n");

	gsl_matrix_free(X);
	gsl_matrix_free(cov);
	gsl_vector_free(Y);
	gsl_vector_free(beta);
	gsl_multifit_linear_free(wspc);
}

ols_linear_multiple_regression.ipynb

ols_quadratic_fitting.ipynb