[SciPy-User] scipy.stats.mstats.linregress bug?

[Skipper Seabold]

On Fri, Jun 24, 2011 at 11:51 AM, Andreas <lists at hilboll.de> wrote:
>> try to rescale, take away the e15, small numerical differences are
>> possible because of the different way the results are calculated.
>> There might still be a difference in the definition of the returns,
>> but I haven't checked recently.
>
> Rescaling doesn't change a thing (see below). And, we're not talking about
> small numerical differences here. The problem is the last return value,
> stderr. It differs by almost a factor 15!
>
> Cheers,
> Andreas.
>
> In [15]: scipy.stats.linregress(x,data/1E15)
> Out[15]:
> (0.14916317817857139,
>  4.8326781674166659,
>  0.53093100793359616,
>  0.041709303490157057,
>  0.066031024254034967)
>
> In [16]: scipy.stats.mstats.linregress(x,data/1E15)
> Out[16]:
> (0.14916317817857139,
>  4.8326781674166659,
>  0.53093100793359627,
>  masked_array(data = 0.0417093034902,
>             mask = False,
>       fill_value = 1e+20)
> ,
>  1.0286155756515489)
>
>

ma linregress
sterrest = ma.sqrt(1.-r*r) * y.std()

linregress
sterrest = np.sqrt((1-r*r)*ssym / ssxm / df)

Skipper