FeasibleWLSVarianceVectorForm Enumeration |
Form of Variance vector. See page 200.
Namespace: FinMath.LeastSquares
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public enum VarianceVectorForm
Members| Member name | Value | Description | |
|---|---|---|---|
| Unit | 0 | Simple Ordinary Least Squares case | |
| HCCME1 | 1 | HC0 matrix. error^2/T | |
| HCCME2 | 2 | HC2 matrix. error[t]^2 / (1 - P[t,t]), where P is projection matrix X(XX')^-1X' | |
| HCCME3 | 3 | HC3 matrix. error[t]^2 / (1 - P[t,t])^2, where P is projection matrix X(XX')^-1X' | |
| JackKnife | 3 | HC3 matrix. error[t]^2 / (1 - P[t,t])^2, where P is projection matrix X(XX')^-1X' |
See Also