I have written some code for a rolling window in matlab for ridge regression. The code uses a 30 day window to learn the data and outputs a lamda for the least error. I am using financial time series data and I want to use the same rolling window code that takes a block of 30 day values and learns those 30 day values and uses them to predict the next day value. Please can someone help me? How can I do the rolling window for the LARS algorithm?
closed as off topic by whuber♦ Jul 16 '12 at 12:46
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