LinearLeastSquaresRegression Class Template Reference

general linear least squares regression More...

#include <ql/math/linearleastsquaresregression.hpp>

List of all members.

Public Member Functions

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


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.