GeneralLinearLeastSquares

NAME

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.

Author

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