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: 7.4

Syntax

C++

Copy

public class RegressionFactorScores : IFactorScores

Public Class RegressionFactorScores
	Implements IFactorScores

public ref class RegressionFactorScores : IFactorScores

type RegressionFactorScores = 
    class
        interface IFactorScores
    end

The RegressionFactorScores type exposes the following members.

Constructors

	Name	Description
	RegressionFactorScores	Constructs a C# Copy RegressionFactorScores instance with a default value of 1e-10 for the correlation tolerance.
	RegressionFactorScores(Double)	Constructs a C# Copy 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

	Name	Description
	CorrelationTolerance	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

	Name	Description
	ComputeFactorScores	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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Reference

CenterSpace.NMath.Core Namespace