u ~ N(0, Omega)Estimated by GLS,
b=(X' Omega^-1 X)^-1X'Omega^-1 ywhose variance is
Var(b)=(X' Omega^-1 X)^-1
| Modifier and Type | Field and Description |
|---|---|
| private RealMatrix | Omega
Covariance matrix. |
| private RealMatrix | OmegaInverse
Inverse of covariance matrix. |
| Access | Constructor and Description |
|---|---|
| public |
| Modifier and Type | Method and Description |
|---|---|
| protected RealVector | Returns: betaImplements abstract org. Calculates beta by GLS. |
| protected RealMatrix | Returns: The beta variance matrixImplements abstract org. Calculates the variance on the beta. |
| protected double | Returns: error varianceOverrides org. Calculates the estimated variance of the error term using the formula Var(u) = Tr(u' Omega^-1 u)/(n-k) |
| protected RealMatrix | |
| protected void | newCovarianceData(double[][]
the [n,n] array representing the covariance omega)Add the covariance data. |
| public void | newSampleData(double[]
y values of the sample y, double[][] x values of the sample x, double[][] array representing the covariance matrix covariance)Replace sample data, overriding any previous sample. |
| Omega | back to summary |
|---|---|
| private RealMatrix Omega Covariance matrix. | |
| OmegaInverse | back to summary |
|---|---|
| private RealMatrix OmegaInverse Inverse of covariance matrix. | |
| GLSMultipleLinearRegression | back to summary |
|---|---|
| public GLSMultipleLinearRegression() | |
| calculateBeta | back to summary |
|---|---|
| protected RealVector calculateBeta() Implements abstract org. Calculates beta by GLS. b=(X' Omega^-1 X)^-1X'Omega^-1 y
| |
| calculateBetaVariance | back to summary |
|---|---|
| protected RealMatrix calculateBetaVariance() Implements abstract org. Calculates the variance on the beta. Var(b)=(X' Omega^-1 X)^-1
| |
| calculateErrorVariance | back to summary |
|---|---|
| protected double calculateErrorVariance() Overrides org. Calculates the estimated variance of the error term using the formula Var(u) = Tr(u' Omega^-1 u)/(n-k)where n and k are the row and column dimensions of the design matrix X.
| |
| getOmegaInverse | back to summary |
|---|---|
| protected RealMatrix getOmegaInverse() Get the inverse of the covariance. The inverse of the covariance matrix is lazily evaluated and cached.
| |
| newCovarianceData | back to summary |
|---|---|
| protected void newCovarianceData(double[][] omega) Add the covariance data.
| |
| newSampleData | back to summary |
|---|---|
| public void newSampleData(double[] y, double[][] x, double[][] covariance) Replace sample data, overriding any previous sample.
| |