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GH-8487: implement HGLM gaussian [nocheck] #16403

Merged
merged 2 commits into from
Oct 29, 2024

Commits on Oct 28, 2024

  1. GH-8487: add HGLM as a separate toolbox.

    GH-8487: crafting HGLM parameters.
    GH-8487: implement EM algo.
    GH-8487: forming the fixed matrices and vectors.
    GH-8487: add test to make sure correct initialization of fixed, random coefficients, sigma values and T matrix.
    GH-8487: Finished implementing EM to estimate fixed coefficients, random coefficients, tmat and tauEVar
    GH-8487: finished implementing prediction but still need to figure out the model metrics calculation.
    GH-8487: Adding support for models without random intercept.
    GH-8487: adding normalization and denormalization of coefficients for fixed and random.
    GH-8487: Completed prediction implementation and added tests to make sure prediction is correct when standardize=true/false, random_intercept = true/false.
    GH-8487: fixing model metric classes.
    GH-8487: add python and R tests.
    GH-8487: adding hooks to generate synthetic data.
    GH-8487: added scoring history, model summary, coefficient tables.
    GH-8487: added modelmetrics for validation frame.
    GH-8487: From experiment to find best tauEVar calculation process.  The one in equation 10 is best.
    GH-8487: add capability in Python client to extract  scoring history, model summary, model metrics, model coefficients (fixed and random), icc, T matrix, residual variance.
    GH-8487: done checking scoring history, model summary and model metrics.
    GH-8487: added R client test for utility functions.
    GH-8487: use lambda_ instead lf Lambda in pyunit_benign_glm.py
    GH-8487: remove standardize from HGLM as the convention does not do standardization.
    
    Co-authored-by: Veronika Maurerová <maurever@users.noreply.github.com>
    
    Move test to check init values are set correctly to Python from Java.  I was not able to find a good combination of initial betas/ubetas and t matrix to make it work.
    wendycwong committed Oct 28, 2024
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Commits on Oct 29, 2024

  1. remove commented out parts in test.

    wendycwong committed Oct 29, 2024
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