GNU Scientific Library – Reference Manual: Fitting linear regression example

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#### 38.8.1 Simple Linear Regression Example

The following program computes a least squares straight-line fit to a simple dataset, and outputs the best-fit line and its associated one standard-deviation error bars.

    #include <stdio.h>
    #include <gsl/gsl_fit.h>

    int
    main (void)
    {
      int i, n = 4;
      double x[4] = { 1970, 1980, 1990, 2000 };
      double y[4] = {   12,   11,   14,   13 };
      double w[4] = {  0.1,  0.2,  0.3,  0.4 };

      double c0, c1, cov00, cov01, cov11, chisq;

      gsl_fit_wlinear (x, 1, w, 1, y, 1, n,
                       &c0, &c1, &cov00, &cov01, &cov11,
                       &chisq);

      printf ("# best fit: Y = %g + %g X\n", c0, c1);
      printf ("# covariance matrix:\n");
      printf ("# [ %g, %g\n#   %g, %g]\n",
              cov00, cov01, cov01, cov11);
      printf ("# chisq = %g\n", chisq);

      for (i = 0; i < n; i++)
        printf ("data: %g %g %g\n",
                       x[i], y[i], 1/sqrt(w[i]));

      printf ("\n");

      for (i = -30; i < 130; i++)
        {
          double xf = x[0] + (i/100.0) * (x[n-1] - x[0]);
          double yf, yf_err;

          gsl_fit_linear_est (xf,
                              c0, c1,
                              cov00, cov01, cov11,
                              &yf, &yf_err);

          printf ("fit: %g %g\n", xf, yf);
          printf ("hi : %g %g\n", xf, yf + yf_err);
          printf ("lo : %g %g\n", xf, yf - yf_err);
        }
      return 0;
    }

The following commands extract the data from the output of the program and display it using the GNU plotutils `graph` utility,

    $ ./demo > tmp
    $ more tmp
    # best fit: Y = -106.6 + 0.06 X
    # covariance matrix:
    # [ 39602, -19.9
    #   -19.9, 0.01]
    # chisq = 0.8

    $ for n in data fit hi lo ;
       do
         grep "^$n" tmp | cut -d: -f2 > $n ;
       done
    $ graph -T X -X x -Y y -y 0 20 -m 0 -S 2 -Ie data
         -S 0 -I a -m 1 fit -m 2 hi -m 2 lo

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