Click or drag to resize

GeneralizedLS Constructor

Initialize new instance of GLS.

Namespace:  FinMath.LeastSquares
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
Copy
public GeneralizedLS(
	Matrix regressors,
	Vector regressand,
	Matrix residualsCovariance
)

Parameters

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.
See Also