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QuantLib_LinearLeastSquaresRegression

NAME

QuantLib::LinearLeastSquaresRegression -

general linear least squares regression

SYNOPSIS

#include <ql/math/linearleastsquaresregression.hpp>

Public Member Functions

LinearLeastSquaresRegression (const std::vector< ArgumentType > &x, const std::vector< Real > &y, const std::vector< boost::function1< Real, ArgumentType > > &v)

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
const Array & a () const

Detailed Description

template<class ArgumentType = Real> class QuantLib::LinearLeastSquaresRegression< ArgumentType >

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

Generated automatically by Doxygen for QuantLib from the source code.