- QuantLib
- GeneralLinearLeastSquares
 
general linear least squares regression More...
#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 | |
| const Array & | a () const | 
| 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_ | 
general linear least squares regression
References: "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,