All Questions
Tagged with moving-window multiple-regression
4 questions
0
votes
0
answers
31
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Autoregession meets multiple regression? - Help with verbiage and approach
Needing some help with verbiage and opinions on how I am approaching this model.
I have counts of people over the past 24 months.
month
count
1
100
2
105
...
...
24
200
First, I reverse the ...
2
votes
1
answer
4k
views
Rolling vs Recursive vs Fixed Window Regression
What precisely are the differences between rolling, recursive and fixed window regression?
As far as I understand,
recursive: we train on a period $y(0)$ to $y(n)$ then predict $\hat{y}(n+1)$. Then ...
- 243
3
votes
1
answer
1k
views
Computation of multiple linear OLS regression with rolling window and/or update
How can I efficiently calculate an OLS fit for N multiple variables for a rolling window?
I've worked out how to do it for 1 and 2 variable linear fits, I'd like to extend to the general case of N ...
- 131
0
votes
1
answer
916
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How to format multi-row time series data for LIBSVM regression
I would have expected this to be covered in detail by the LIBSVM tutorial but after hours of wasting time googling for answers I've had to throw in the towel. What I am trying to do is rather trivial ...
- 131