GeneralLinearLeastSquares Class Reference

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 Arraycoefficients () const
 
const Arrayresiduals () const
 
const ArraystandardErrors () const
 standard parameter errors as given by Excel, R etc.
 
const Arrayerror () const
 modeling uncertainty as definied in Numerical Recipes
 
const Arraya () 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_
 

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.