QuantLib_GeneralLinearLeastSquares man page

GeneralLinearLeastSquares — general linear least squares regression  

Synopsis

#include <ql/math/generallinearleastsquares.hpp>

Inherited by LinearLeastSquaresRegression< ArgumentType >, and LinearRegression.

Public Member Functions

template<class xContainer , class yContainer , class vContainer > GeneralLinearLeastSquares (const xContainer &x, const yContainer &y, const vContainer &v)
template<class xIterator , class yIterator , class vIterator > GeneralLinearLeastSquares (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin, vIterator vEnd)
const Array & coefficients () const
const Array & residuals () const
const Array & standardErrors () const
standard parameter errors as given by Excel, R etc.
const Array & error () const
modeling uncertainty as definied in Numerical Recipes
Size size () const
Size dim () const
template<class xIterator , class yIterator , class vIterator > void calculate (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin, vIterator)

Protected Member Functions

template<class xIterator , class yIterator , class vIterator > void calculate (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin)
template<class xIterator , class yIterator , class vIterator > QL_DEPRECATED void calculate (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin, vIterator vEnd)

Protected Attributes

Array a_
Array err_
Array residuals_
Array standardErrors_

Detailed Description

general linear least squares regression

References: 'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests

the correctness of the returned values is tested by checking their properties.

Member Function Documentation

QL_DEPRECATED void calculate (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin, vIterator vEnd) [protected]

Deprecated

Use the overload taking 5 parameters. Deprecated in version 1.10.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages dim(3), err_(3), GeneralLinearLeastSquares(3), residuals(3), residuals_(3), standardErrors(3) and standardErrors_(3) are aliases of QuantLib_GeneralLinearLeastSquares(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib