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Multivariate Regression open source Quant development APIs, frameworks and Libraries for C++ and C#

(Last Updated On: November 11, 2011)

Multivariate Regression  open source Quant development APIs, frameworks and Libraries for C++ and C#

Hi,
I am working in C++ and do the Multivariate Regression. I am avoiding to write complete code. Does anyone can suggest library for it?

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Below, I have some useful links to do your work. Most of them are open source projects and there are capable of solving a range of complex mathematical proplems. I hope it helps…

(1) project linear Regression

http://www.hackchina.com/en/cont/22723

(2) project multiple linear Regression

http://www.hackchina.com/en/cont/159701

(3) Partial Least Squares Analysis and Regression in C#

http://crsouza.blogspot.com/2010/04/partial-least-squares-analysis-and.html

(4) Linear Regression in ALGLIB C# and C++

http://www.alglib.net/dataanalysis/linearregression.php

(5) DotNumerics (C#) Includes: Linear Algebra (CSLapack, CSBlas and CSEispack)., Differential Equations, Optimization

http://www.dotnumerics.com/

(6) Meta.Numerics (C#) library features include complex numbers and other mathematical objects, special functions, numerical calculus, statistics and data analysis, linear algebra, and Fourier transforms.

http://www.meta-numerics.net/Pages/Specs.aspx

(7) A generic linear algebra toolkit in C# Compatible with Silverlight.

http://nlinear.codeplex.com/

(8) Deltix’s FinMath numerical library provides object-oriented components for mathematical, scientific, and financial applications on the .NET platform

• BLAS (Basic Linear Algebra Subroutines)
• LAPACK (Linear Algebra PACKage)
• Fast Fourier Transform
• Vector Math Library
• Vector Random Number Generators
• Summary Statistics Library

https://rtmath.net/products/finmath/

(9) Math.NET is a mathematical opensource toolkit written in C# for the Microsoft .Net platform. Math.NET aims to provide a self-contained clean framework for both numerical scientific and symbolic algebraic computations.

http://www.mathdotnet.com/About.aspx

 

 

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