org.apache.commons.math.stat.regression
Class GLSMultipleLinearRegression
java.lang.Object
org.apache.commons.math.stat.regression.AbstractMultipleLinearRegression
org.apache.commons.math.stat.regression.GLSMultipleLinearRegression
- All Implemented Interfaces:
- MultipleLinearRegression
public class GLSMultipleLinearRegression
- extends AbstractMultipleLinearRegression
The GLS implementation of the multiple linear regression.
GLS assumes a general covariance matrix Omega of the error
u ~ N(0, Omega)
Estimated by GLS,
b=(X' Omega^-1 X)^-1X'Omega^-1 y
whose variance is
Var(b)=(X' Omega^-1 X)^-1
- Since:
- 2.0
Method Summary |
void |
newSampleData(double[] y,
double[][] x,
double[][] covariance)
Replace sample data, overriding any previous sample. |
GLSMultipleLinearRegression
public GLSMultipleLinearRegression()
newSampleData
public void newSampleData(double[] y,
double[][] x,
double[][] covariance)
- Replace sample data, overriding any previous sample.
- Parameters:
y
- y values of the samplex
- x values of the samplecovariance
- array representing the covariance matrix
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