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WeightedLS Constructor (Matrix, Vector, Vector)

Initialize new instance of WLS. Note: That weights commonly used as INVERTED residuals variance, NOT VARIANCE. Use WeightedLS.VariancesToWeights to robust conversion variance to weight.

Namespace:  FinMath.LeastSquares
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
public WeightedLS(
	Matrix regressors,
	Vector regressand,
	Vector weights
)

Parameters

regressors
Type: FinMath.LinearAlgebraMatrix
Regressors values matrix. Rows of X correspond to observations, columns to variables.
regressand
Type: FinMath.LinearAlgebraVector
Regressand values vector.
weights
Type: FinMath.LinearAlgebraVector
Vector of weights.
See Also