Re: [R] Rolling window linear regression

I have to do roll regression based on the Daily data. I use the past three weeks of daily returns as the estimation window and the regression is estimated rolling forward one week at a time generating time series estimates of beta. I know I should use the rollapply in zoo package. but I

Re: [R] Rolling window linear regression

Use ?loess instead. -- Bert Bert Gunter Genentech Nonclinical Biostatistics (650) 467-7374 Data is not information. Information is not knowledge. And knowledge is certainly not wisdom. Clifford Stoll On Sat, Oct 4, 2014 at 12:09 AM, Grace Shi 1104271...@qq.com wrote: I have to do roll

Re: [R] Rolling window linear regression

- From: Dennis Murphy djmu...@gmail.com Date: Wed, 18 Aug 2010 08:46:49 To: siddharth.gar...@gmail.com Subject: Re: [R] Rolling window linear regression This is called kernel-based regression; the most popular version is loess. Try library(sos) findFn('loess') to see some of the various

Re: [R] Rolling window linear regression

Subject: Re: [R] Rolling window linear regression Sent: Aug 19, 2010 12:42 PM The function rollapply() in package zoo can be used to run rolling regressions. See the examples in the manual page for a worked example. On Thu, 19 Aug 2010, siddharth.gar...@gmail.com wrote: Thanks, I will try

[R] Rolling window linear regression

Hi Does there exists an efficient way of performing linear regression on rolling windows in R. The exact problem is: We have a dataset of length l. The window size is w. Now, I perform linear regression on window i to (i+w) . Using this model can I perform linear regression over window (i+1)

Re: [R] Rolling window linear regression

Thanks, I will try it. Regards Sid Sent on my BlackBerry® from Vodafone -Original Message- From: Dennis Murphy djmu...@gmail.com Date: Wed, 18 Aug 2010 08:46:49 To: siddharth.gar...@gmail.com Subject: Re: [R] Rolling window linear regression This is called kernel-based regression