FeasibleWLS Class |
Implementation of Feasible Weighted Least Squares
See: "Econometrics Theory and Methods", R.Davidson, J.G. MacKinnon, 2004
Chapter 5.5: Heteroskedasticity-Consistent Covariance Matrices (HCCME).
Chapter 7.4: Feasible Generalized Least Squares.
Chapter 7.5: Heteroskedasticity.
Inheritance HierarchyNamespace: FinMath.LeastSquares
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class FeasibleWLS : AbstractLS
The FeasibleWLS type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | FeasibleWLS(Matrix, Vector) |
Initialize new instance of Feasible WLS.
|
| FeasibleWLS(Matrix, Vector, FeasibleWLSVarianceVectorForm) |
Initialize new instance of Feasible WLS.
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| FeasibleWLS(Matrix, Vector, FeasibleWLSVarianceVectorForm, Int32) |
Initialize new instance of Feasible WLS.
|
Properties| Name | Description | |
|---|---|---|
 | Parameters |
Vector of regression parameters.
(Inherited from AbstractLS.) |
| Status |
Method Status.
(Inherited from AbstractLS.) |
Methods| Name | Description | |
|---|---|---|
| CalculateR2(Matrix, Vector) |
Calculate R2 - Coefficient of determination - goodness-of-fit of the OLS regression metric.
Method use computed regression parameters.
http://en.wikipedia.org/wiki/Coefficient_of_determination
(Inherited from AbstractLS.) |
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| Estimate(Matrix) |
Estimate regresand values, using computed regression parameters and regressors values.
Use this this method for multiple observations.
(Inherited from AbstractLS.) |
| Estimate(Vector) |
Estimate regresand value, using computed regression parameters and regressors value.
Use this this method for single observation.
(Inherited from AbstractLS.) |
| EstimateResidual(Vector, Double) |
Calculate residuals of estimations, using computed regression parameters, regressors and regressand value.
Use this this method for single observation.
(Inherited from AbstractLS.) |
| EstimateResiduals(Matrix, Vector) |
Calculate residuals of estimations, using computed regression parameters, regressors and regressand values.
Use this this method for multiple observations.
(Inherited from AbstractLS.) |
 | FitFeasibleWLS |
Static method, which can be used to simply calculate Feasible WLS parameters.
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| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
See Also