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Results tagged with least-squares
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user 96417
Refers to a general estimation technique that selects the parameter value to minimize the squared difference between two quantities, such as the observed value of a variable, and the expected value of that observation conditioned on the parameter value. Gaussian linear models are fit by least squares and least squares is the idea underlying the use of mean-squared-error (MSE) as a way of evaluating an estimator.
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Linear regression, adding lagged dependent variables
I have a regression (time series) problem
$$y_t = w_1x_t+w_2z_t$$
Now, when I include a time-1 lag in this problem, so that the equation becomes
$$y_t = w_1x_t+w_2z_t+w_3x_{t-1}+w_4z_{t-1}$$
my …
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