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?
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closed as off topic by whuber♦ Jul 16 '12 at 12:46
Questions on Cross Validated are expected to relate to statistics within the scope defined in the FAQ. Consider editing the question or leaving comments for improvement if you believe the question can be reworded to fit within the scope. Read more about closed questions here.
