QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Public Member Functions | List of all members
LinearRegression Class Reference

#include <linearleastsquaresregression.hpp>

+ Inheritance diagram for LinearRegression:
+ Collaboration diagram for LinearRegression:

Public Member Functions

template<class xContainer , class yContainer >
 LinearRegression (const xContainer &x, const yContainer &y, Real intercept=1.0)
 linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps More...
 
template<class xContainer , class yContainer , class vContainer >
 LinearRegression (const xContainer &x, const yContainer &y, const vContainer &v)
 
- Public Member Functions inherited from GeneralLinearLeastSquares
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
 

Additional Inherited Members

- Protected Member Functions inherited from GeneralLinearLeastSquares
template<class xIterator , class yIterator , class vIterator >
void calculate (xIterator xBegin, xIterator xEnd, yIterator yBegin, yIterator yEnd, vIterator vBegin)
 
- Protected Attributes inherited from GeneralLinearLeastSquares
Array a_
 
Array err_
 
Array residuals_
 
Array standardErrors_
 

Detailed Description

Definition at line 76 of file linearleastsquaresregression.hpp.

Constructor & Destructor Documentation

◆ LinearRegression() [1/2]

LinearRegression ( const xContainer &  x,
const yContainer &  y,
Real  intercept = 1.0 
)

linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps

Definition at line 90 of file linearleastsquaresregression.hpp.

◆ LinearRegression() [2/2]

LinearRegression ( const xContainer &  x,
const yContainer &  y,
const vContainer &  v 
)

Definition at line 97 of file linearleastsquaresregression.hpp.