QuantLib_LinearRegression

Langue: en

Version: 375989 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::LinearRegression -

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

SYNOPSIS


#include <ql/math/linearleastsquaresregression.hpp>

Public Member Functions


LinearRegression (const std::vector< Real > &x, const std::vector< Real > &y)
one dimensional linear regression
LinearRegression (const std::vector< std::vector< Real > > &x, const std::vector< Real > &y)
multi dimensional linear regression
const Array & coefficients () const
returns paramters {a_0, a_1, ..., a_n}
const Array & residuals () const

const Array & standardErrors () const

Detailed Description

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

Author

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