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WeightedLSFitWLS Method

Static method, which can be used to simply calculate WLS parameters. Note: That weights commonly used as INVERTED residuals variance, NOT VARIANCE. Use WeightedLS.VariancesToWeights to robust conversion variance to weight.

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

Parameters

regressors
Type: FinMath.LinearAlgebraMatrix
Regressors valuess matrix. Rows of X correspond to observations, columns to variables.
regressand
Type: FinMath.LinearAlgebraVector
Regressand values vector.
weights
Type: FinMath.LinearAlgebraVector
Variance-Covariance matrix of residuals.

Return Value

Type: Vector
Weighted Least Squares parameters or null if method wasn't converged.
See Also