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WeightedLSVariancesToWeights Method (Vector, Vector, Double)

Static method which transform known residuals variance to weights, Note: We for zero variances we assume average weights.

Namespace:  FinMath.LeastSquares
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
public static void VariancesToWeights(
	Vector variances,
	Vector weights,
	double thresh
)

Parameters

variances
Type: FinMath.LinearAlgebraVector
Known residuals variance vector.
weights
Type: FinMath.LinearAlgebraVector
Vector to store weights.
thresh
Type: SystemDouble
Value smaller than thresh assume to be zero and replace by average variance.
See Also