Module net.finmath.lib

Package net.finmath.montecarlo.conditionalexpectation

Class LinearRegression

java.lang.Object

net.finmath.montecarlo.conditionalexpectation.LinearRegression

public class LinearRegression
extends Object

Performs a linear regression on random variables implementing RandomVariable.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
LinearRegression(RandomVariable[] basisFunctions)	Create the linear regression with a set of basis functions.

Method Summary

Modifier and Type	Method	Description
double[]	getRegressionCoefficients(RandomVariable value)	Get the vector of regression coefficients.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

LinearRegression

public LinearRegression(RandomVariable[] basisFunctions)

Create the linear regression with a set of basis functions.

Parameters:

basisFunctions - A vector of (independent) random variables to be used as basis functions.

Method Details

getRegressionCoefficients

public double[] getRegressionCoefficients(RandomVariable value)

Get the vector of regression coefficients.

Parameters:

value - The random variable to regress.

Returns:

The vector of regression coefficients.