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OrdinaryLSForget Method (Matrix, Vector)

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
C#
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