Matrix is singular, RCOND=NAN for a OLS regression
7 views (last 30 days)
Show older comments
Hello all,
I am attempting to code an OLS regression, using a OLS-function of my own design. The code looks as follows:
Y = lntrentsa;
nobs = size(Y,1);
X = [ones(nobs,1), airbnbsa, airbrnb*oorate10];
knum = size(X,2);
b = inv(X'*X) * X'*Y;
However, I am unable to get an output for b(eta) as I get the error message:
Warning: Matrix is singular, close to singular or badly scaled. Results may be inaccurate. RCOND = NaN
Would anyone know why this might be? Which Matrix does the error message mean? I have attempted rewriting b but I still only get Nan values:
b = (X'*X)\ X'*Y
My dataset is quite large (nobs = 745776), could this perhaps have an influence?
I'd be grateful for any advice! Thank you
0 Comments
Answers (1)
Bruno Luong
on 24 Apr 2022
Edited: Bruno Luong
on 24 Apr 2022
First make sure your data X and Y contain only finite elements (no NaN, Inf, or such).
Instead of
b = inv(X'*X) * X'*Y;
try (R2018a or later required)
[XN,C,S] = normalize(X);
b = ((XN+C./S)\Y) ./ S.';
3 Comments
Bruno Luong
on 24 Apr 2022
Edited: Bruno Luong
on 24 Apr 2022
So may be your matrix is really singular (rank(X) < 3), in this case you migh wanr to do
b = pinv(X'*X) * X'*Y;
or
[XN,C,S] = normalize(X);
XN = (XN+C./S);
b = (pinv(XN'*XN) * XN'*Y) ./ S.';
But MATLAB warning is still valid: the result may be innacurate, simply your data are not allowed to observe whatever the parameters b you want to compute.
Bruno Luong
on 25 Apr 2022
You might also want to experiment with different method of normalizing, e.g.,
[XN,C,S] = normalize(X,'medianiqr')
See Also
Categories
Find more on Performance and Memory in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!