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Update olscode.py

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This commit is contained in:
Morten Hjorth-Jensen
2021-10-03 22:07:29 +02:00
parent a09477165d
commit 405a0f0348
1 changed files with 14 additions and 7 deletions
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doc/src/week37/programs/olscode.py
+14 -7
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@@ -10,7 +10,7 @@ from sklearn.preprocessing import PolynomialFeatures
np.random.seed(3155)
# Generate the data.
nsamples = 10000
nsamples = 1000
x = np.random.randn(nsamples)
y = 3*x**2 + np.random.randn(nsamples)
@@ -25,7 +25,8 @@ k = 10
kfold = KFold(n_splits = k)
# Perform the cross-validation to estimate MSE using OLS
scores_KFold = np.zeros((k))
scores_KFoldTrain = np.zeros((k))
scores_KFoldTest = np.zeros((k))
model = LinearRegression()
j = 0
for train_inds, test_inds in kfold.split(x):
@@ -35,13 +36,19 @@ for train_inds, test_inds in kfold.split(x):
ytest = y[test_inds]
Xtrain = poly.fit_transform(xtrain[:, np.newaxis])
model.fit(Xtrain, ytrain[:, np.newaxis])
ypredtrain = model.predict(Xtrain)
scores_KFoldTrain[j] = np.sum((ypredtrain - ytrain[:, np.newaxis])**2)/np.size(ypredtrain)
print(f"Score for each fold train data:{scores_KFoldTrain[j]}")
Xtest = poly.fit_transform(xtest[:, np.newaxis])
ypred = model.predict(Xtest)
scores_KFold[j] = np.sum((ypred - ytest[:, np.newaxis])**2)/np.size(ypred)
print(f"Score for each fold:{scores_KFold[j]}")
ypredtest = model.predict(Xtest)
scores_KFoldTest[j] = np.sum((ypredtest - ytest[:, np.newaxis])**2)/np.size(ypredtest)
print(f"Score for each fold test data:{scores_KFoldTest[j]}")
j += 1
estimated_mse_KFold = np.mean(scores_KFold)
print(f"Average OLS score:{estimated_mse_KFold}")
estimated_mse_KFoldTest = np.mean(scores_KFoldTest)
print(f"Average OLS score for test:{estimated_mse_KFoldTest}")
estimated_mse_KFoldTrain = np.mean(scores_KFoldTrain)
print(f"Average OLS score for Train:{estimated_mse_KFoldTrain}")