LinearLeastSquaresRegression (3) Linux Manual Page

QuantLib::LinearLeastSquaresRegression – general linear least squares regression

Synopsis

#include <ql/math/linearleastsquaresregression.hpp>

Public Member Functions

LinearLeastSquaresRegression (const std::vector< ArgumentType > &x, const std::vector< Real > &y, const std::vector< boost::function1< Real, ArgumentType > > &v)

const Array & a () const

const Array & error () const

Detailed Description

template<class ArgumentType = Real> class QuantLib::LinearLeastSquaresRegression< ArgumentType >

general linear least squares regression

References: ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests

the correctness of the returned values is tested by checking their properties.

Author

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