QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
general linear least squares regression More...
#include <generallinearleastsquares.hpp>
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. More... | |
const Array & | error () const |
modeling uncertainty as definied in Numerical Recipes More... | |
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) |
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,
Definition at line 45 of file generallinearleastsquares.hpp.
GeneralLinearLeastSquares | ( | const xContainer & | x, |
const yContainer & | y, | ||
const vContainer & | v | ||
) |
Definition at line 79 of file generallinearleastsquares.hpp.
GeneralLinearLeastSquares | ( | xIterator | xBegin, |
xIterator | xEnd, | ||
yIterator | yBegin, | ||
yIterator | yEnd, | ||
vIterator | vBegin, | ||
vIterator | vEnd | ||
) |
Definition at line 90 of file generallinearleastsquares.hpp.
const Array & coefficients | ( | ) | const |
Definition at line 56 of file generallinearleastsquares.hpp.
const Array & residuals | ( | ) | const |
Definition at line 57 of file generallinearleastsquares.hpp.
const Array & standardErrors | ( | ) | const |
standard parameter errors as given by Excel, R etc.
Definition at line 60 of file generallinearleastsquares.hpp.
const Array & error | ( | ) | const |
modeling uncertainty as definied in Numerical Recipes
Definition at line 62 of file generallinearleastsquares.hpp.
Size size | ( | ) | const |
Definition at line 64 of file generallinearleastsquares.hpp.
Size dim | ( | ) | const |
Definition at line 66 of file generallinearleastsquares.hpp.
|
protected |
Definition at line 103 of file generallinearleastsquares.hpp.
|
protected |
Definition at line 69 of file generallinearleastsquares.hpp.
|
protected |
Definition at line 69 of file generallinearleastsquares.hpp.
|
protected |
Definition at line 69 of file generallinearleastsquares.hpp.
|
protected |
Definition at line 69 of file generallinearleastsquares.hpp.