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OrdinaryLS Class

Ordinary Least Squares (OLS). http://en.wikipedia.org/wiki/Ordinary_least_squares
Inheritance Hierarchy
SystemObject
  FinMath.LeastSquaresAbstractLS
    FinMath.LeastSquaresOrdinaryLS

Namespace:  FinMath.LeastSquares
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
[SerializableAttribute]
public class OrdinaryLS : AbstractLS

The OrdinaryLS type exposes the following members.

Constructors
  NameDescription
Public methodOrdinaryLS(Int32)
Initialize new instance of OLS.
Public methodOrdinaryLS(Matrix, Vector)
Initialize new instance of OLS.
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Properties
  NameDescription
Public propertyParameters
Vector of regression parameters.
(Inherited from AbstractLS.)
Public propertyStatus
Method Status.
(Inherited from AbstractLS.)
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Methods
  NameDescription
Public methodCalculateR2(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.)
Public methodEquals
Determines whether the specified object is equal to the current object.
(Inherited from Object.)
Public methodEstimate(Matrix)
Estimate regresand values, using computed regression parameters and regressors values. Use this this method for multiple observations.
(Inherited from AbstractLS.)
Public methodEstimate(Vector)
Estimate regresand value, using computed regression parameters and regressors value. Use this this method for single observation.
(Inherited from AbstractLS.)
Public methodEstimateResidual(Vector, Double)
Calculate residuals of estimations, using computed regression parameters, regressors and regressand value. Use this this method for single observation.
(Inherited from AbstractLS.)
Public methodEstimateResiduals(Matrix, Vector)
Calculate residuals of estimations, using computed regression parameters, regressors and regressand values. Use this this method for multiple observations.
(Inherited from AbstractLS.)
Public methodStatic memberFitOLS
Static method, which can be used to simply calculate OLS parametesr.
Public methodForget(Matrix, Vector)
Update OLS parameters according new observations. It is useful for estimation on sliding window.
Public methodForget(Vector, Double)
Update OLS parameters according new observations. It is useful for estimation on sliding window.
Public methodGetHashCode
Serves as the default hash function.
(Inherited from Object.)
Public methodGetType
Gets the Type of the current instance.
(Inherited from Object.)
Public methodToString
Returns a string that represents the current object.
(Inherited from Object.)
Public methodUpdate(Matrix, Vector)
Update OLS parameters according new observations. It is useful for estimation on sliding window.
Public methodUpdate(Vector, Double)
Update OLS parameters according new observations. It is useful for estimation on sliding window.
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See Also