OrdinaryLSForget Method (Matrix, Vector)
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Update OLS parameters according new observations.
It is useful for estimation on sliding window.
Namespace:
FinMath.LeastSquares
Assembly:
FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax public void Forget(
Matrix regressorsToForget,
Vector regressandToForget
)
Parameters
- regressorsToForget
- Type: FinMath.LinearAlgebraMatrix
Matrix of regressors values observation to forget. - regressandToForget
- Type: FinMath.LinearAlgebraVector
Vector of regressand values observation to forget.
See Also