FinMath.LeastSquares Namespace |
Classes| Class | Description | |
|---|---|---|
 | AbstractLS |
Base class for all Least Squares models.
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| FeasibleWLS |
Implementation of Feasible Weighted Least Squares
See: "Econometrics Theory and Methods", R.Davidson, J.G. MacKinnon, 2004
Chapter 5.5: Heteroskedasticity-Consistent Covariance Matrices (HCCME).
Chapter 7.4: Feasible Generalized Least Squares.
Chapter 7.5: Heteroskedasticity.
|
| GeneralizedLS |
Generalized Least Squares (GLS).
http://en.wikipedia.org/wiki/Generalized_least_squares
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| MultinomialRegression |
Multinomial regression for nominal model.
McCullagh, P., and J.A. Nelder (1990) Generalized Linear Models, 2nd edition, Chapman and Hall;CRC Press.
|
| OrdinaryLS |
Ordinary Least Squares (OLS).
http://en.wikipedia.org/wiki/Ordinary_least_squares
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| StepwiseLS |
Implementation of Stepwise Least Squares (Regrssion) Algorithm.
|
| WeightedLS |
Weighted Least Squares (WLS).
http://en.wikipedia.org/wiki/Weighted_least_squares#Weighted_least_squares
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Enumerations| Enumeration | Description | |
|---|---|---|
 | FeasibleWLSVarianceVectorForm |
Form of Variance vector. See page 200.
|