WeightedLSForget Method (Matrix, Vector, Vector)

Update WLS parameters according new observations. It is useful for estimation on sliding window.

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

Syntax

public void Forget(
	Matrix regressorsToForget,
	Vector regressandToForget,
	Vector weights
)

regressorsToForget: Type: FinMath.LinearAlgebraMatrix
Matrix of regressors values observation to forget.
regressandToForget: Type: FinMath.LinearAlgebraVector
Vector of regressand values observation to forget.
weights: Type: FinMath.LinearAlgebraVector
Weights of samples to forget.

WeightedLSAddLanguageSpecificTextSet("LST1649E11E_0?cpp=::|nu=.");Forget Method (Matrix, Vector, Vector)