QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <linearleastsquaresregression.hpp>
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_ |
Definition at line 91 of file linearleastsquaresregression.hpp.
LinearRegression | ( | const xContainer & | x, |
const yContainer & | y, | ||
Real | intercept = 1.0 |
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) |
linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
Definition at line 105 of file linearleastsquaresregression.hpp.
LinearRegression | ( | const xContainer & | x, |
const yContainer & | y, | ||
const vContainer & | v | ||
) |
Definition at line 114 of file linearleastsquaresregression.hpp.