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scikit-learn-contrib / py-earth

A Python implementation of Jerome Friedman's Multivariate Adaptive Regression Splines
http://contrib.scikit-learn.org/py-earth/
BSD 3-Clause "New" or "Revised" License
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Support non-diagonal weight matrices #54

Open jcrudy opened 10 years ago

jcrudy commented 10 years ago

This can be accomplished by premultiplying basis functions by the Cholesky square root of the weight matrix (a generalization of how diagonal weight matrices are currently handled). See equation (7) in [1].

[1] Green, P. J. (2011). Iteratively Reweighted Least Squares for Maximum Likelihood Estimation, and some Robust and Resistant Alternatives. Journal of The Royal Statistical Society, Series B (Methodological), 46(2), 149–192.

jcrudy commented 8 years ago

This will be hard. Also, does anybody want it? Marking for 0.2.