GeneralizedLSFitGLS Method

Static method, which can be used to simply calculate GLS parametesr.

Namespace: FinMath.LeastSquares
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

public static Vector FitGLS(
	Matrix regressors,
	Vector regressand,
	Matrix residualsCovariance
)

regressors: Type: FinMath.LinearAlgebraMatrix
Regressors valuess matrix. Rows of X correspond to observations, columns to variables.
regressand: Type: FinMath.LinearAlgebraVector
Regressand values vector.
residualsCovariance: Type: FinMath.LinearAlgebraMatrix
Variance-Covariance matrix of residuals.

Type: Vector
Generalized Least Squares parameters or null if method wasn't converged.

GeneralizedLSAddLanguageSpecificTextSet("LST2A36BFEB_0?cpp=::|nu=.");FitGLS Method