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RegressionFactorScores Class

Class implementing the
IFactorScores
interface for computing factor scores using the regression algorithm. The regression algorithm uses a least squares regression approach to predict factor scores. Specifically this method computes the solution X to the matrix equation RX = B, where R = covariance matrix, B = factor matrix, X = factor scores.
Inheritance Hierarchy
SystemObject
  CenterSpace.NMath.CoreRegressionFactorScores

Namespace:  CenterSpace.NMath.Core
Assembly:  NMath (in NMath.dll) Version: 7.3
Syntax
public class RegressionFactorScores : IFactorScores

The RegressionFactorScores type exposes the following members.

Constructors
  NameDescription
Public methodRegressionFactorScores
Constructs a
RegressionFactorScores
instance with a default value of 1e-10 for the correlation tolerance.
Public methodRegressionFactorScores(Double)
Constructs a
RegressionFactorScores
instance with the given correlation tolerance. Values in the correlation matrix with magnitude less than this value will considered zero by the regression algorithm.
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Properties
  NameDescription
Public propertyCorrelationTolerance
Correlation tolerance. Values in the correlation matrix with magnitude less than this value will be considered zero in the regression calculation. The defaule value is 1e-10.
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Methods
  NameDescription
Public methodComputeFactorScores
Computes the factor scores using the given data, the covariance matrix for the data, and the extracted factors. Specifically this method computes and returns the solution X to the matrix equation RX = B, where R = covariance matrix, B = factor matrix.
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See Also