Class 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
    • Constructor Detail

      • GLSMultipleLinearRegression

        public GLSMultipleLinearRegression()
    • Method Detail

      • newSampleData

        public void newSampleData​(double[] y,
                                  double[][] x,
                                  double[][] covariance)
        Replace sample data, overriding any previous sample.
        Parameters:
        y - y values of the sample
        x - x values of the sample
        covariance - array representing the covariance matrix