For classical statistics, I'd recommend GLM.jl over MultivariateStatsjl. The former is written by a statistician (and R Core member) and the latter is written by a machine learner who is very focused on speed. The main reason for this recommendation is not speed, but that GLM.jl is quite similar to the lm/glm functions in R when used with the DataFrames.jl package.

The difference in precision is the difference between using a Cholesky and a QR based solution for the least squares problem. Personally, I'm not too worried about the loss of precision in the Cholesky solution because the statistical error is so much larger than the numerical error.

On Sat, Jan 16, 2016 at 12:38 PM, Riccardo (Jack) Lucchetti wrote:
On Sat, 16 Jan 2016, Sven Schreiber wrote:

Am 15.01.2016 um 20:39 schrieb Allin Cottrell:
Following up Jack's comment at

http://lists.wfu.edu/pipermail/gretl-devel/2016-January/006467.html

in current git there's a basic "preview" of Julia support in gretl.

exciting!

# NIST's certified coefficient values
matrix nist_b = {-3482258.63459582, 15.0618722713733,
-0.358191792925910E-01, -2.02022980381683,
-1.03322686717359, -0.511041056535807E-01,
1829.15146461355}'

Since I don't have it installed yet, could you comment on whether the
results match (between gretl/Julia/NIST)?

These are the results I get

<output>
Log-relative errors, Longley coefficients:

gretl       julia
12.228      8.0224
10.920      7.5300
11.797      7.5697
12.528      8.1421
13.169      8.3801
11.770      7.2368
12.235      8.0333

Column means
12.092      7.8449

</output>

So it would seem that the MultivariateStats julia module leaves a bit to be desired for the moment, at lest in terms of precision.

-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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