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LSMI Constructor (Double, Double, Double, Double, Boolean, Int32, Int32)
Calculate Mutual Information between series X and Y.

Namespace:  FinMath.FactorAnalysis
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
Copy
public LSMI(
	double[] X,
	double[] Y,
	double[] lambdaList,
	double[] sigmaList,
	bool useDelta,
	int basketCount,
	int basisSize
)

Parameters

X
Type: SystemDouble
First series.
Y
Type: SystemDouble
Second series.
lambdaList
Type: SystemDouble
List of possible values for Lagrange multiplier.
sigmaList
Type: SystemDouble
List of possible values for Gaussian standard deviation.
useDelta
Type: SystemBoolean
Use Kronecker Delta function for second series if it's true.
basketCount
Type: SystemInt32
Basket count for Cross Validation.
basisSize
Type: SystemInt32
Number of basis function to approximate density ratio.
See Also