I have a question
I don't understand that function and the math in it
def fit(self, X, y, n_jobs=1):
self = super(LinearRegression, self).fit(X, y, n_jobs)
# Calculate SSE (sum of squared errors)
# and SE (standard error)
sse = np.sum((self.predict(X) - y) ** 2, axis=0) / float(X.shape[0] - X.shape[1])
se = np.array([np.sqrt(np.diagonal(sse * np.linalg.inv(np.dot(X.T, X))))])
# compute the t-statistic for each feature
self.t = self.coef_ / se
# find the p-value for each feature
print()
self.p = np.squeeze(2 * (1 - stat.t.cdf(np.abs(self.t), y.shape[0] - X.shape[1])))
return self
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