WeightedLSUpdate 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 Update(
	Matrix additionalRegressors,
	Vector additionalRegressand,
	Vector weights
)

additionalRegressors: Type: FinMath.LinearAlgebraMatrix
Additional matrix of regressors obsercations.
additionalRegressand: Type: FinMath.LinearAlgebraVector
Additional vector of regressand obsercations.
weights: Type: FinMath.LinearAlgebraVector
Vector of weight of additional samples.

WeightedLSAddLanguageSpecificTextSet("LST8511439A_0?cpp=::|nu=.");Update Method (Matrix, Vector, Vector)