I'm currently working on logistic and linear regression problems using SGD in Mahout. I have no trouble getting the model equation and metrics (AUC, R-square, etc.), but I can't find a coefficient's statistical significance (t-value for linear regression and Wald's Chi-square value for logistic regression). How can I calculate these values?
Thank you, Payal
From what I understand, Mahout is weak in linear regression. Instead of a maximum likelihood, it uses another optimized iterative learning algorithm.
The RMS package in R may work better for you: http://cran.rproject.org/web/packages/rms/index.html
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