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

Protected Member Functions

template<class xIterator , class yIterator , class vIterator > 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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib