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 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 > am not sure how to do. > > data example: > > stockday week y x > "1" 2009-01-02 2009-01 0.89 2.45 > "1" 2009-01-03 2009-01 1.21 1.90 > "1" 2009-01-04 2009-01 0.12 0.89 > "1" 2009-01-05 2009-01 1.45 2.78 > "1" 2009-01-06 2009-01 1.98 0.98 > "1" 2009-01-09 2009-02 3.34 1.23 > "1" 2009-01-10 2009-02 0.12 0.89 > "1" 2009-01-11 2009-02 1.45 2.78 > "1" 2009-01-13 2009-02 1.98 0.98 > "1" 2009-01-16 2009-03 3.38 0.93 > "1" 2009-01-17 2009-03 6.56 3.90 > "1" 2009-01-18 2009-03 5.09 3.45 > "1" 2009-01-19 2009-03 5.89 3.78 > > > > > [[alternative HTML version deleted]] > > __ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
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 am not sure how to do. data example: stockday week y x "1" 2009-01-02 2009-01 0.89 2.45 "1" 2009-01-03 2009-01 1.21 1.90 "1" 2009-01-04 2009-01 0.12 0.89 "1" 2009-01-05 2009-01 1.45 2.78 "1" 2009-01-06 2009-01 1.98 0.98 "1" 2009-01-09 2009-02 3.34 1.23 "1" 2009-01-10 2009-02 0.12 0.89 "1" 2009-01-11 2009-02 1.45 2.78 "1" 2009-01-13 2009-02 1.98 0.98 "1" 2009-01-16 2009-03 3.38 0.93 "1" 2009-01-17 2009-03 6.56 3.90 "1" 2009-01-18 2009-03 5.09 3.45 "1" 2009-01-19 2009-03 5.89 3.78 [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling window linear regression
On Thu, 19 Aug 2010, siddharth.gar...@gmail.com wrote:
Hi
That's right, but that isn't what I am trying to achieve. When we have a
rolling window, the only difference between two neighboring windows is
first and the last point.
Yes, this is what the example does. Consider the following artificial
example:
## artificial bivariate series of length 5
set.seed(1)
z <- zoo(matrix(rnorm(10), ncol = 2))
colnames(z) <- c("y", "x")
## rolling regression of width 4
rollapply(z, width = 4,
function(x) coef(lm(y ~ x, data = as.data.frame(x))),
by.column = FALSE, align = "right")
## result is identical to
coef(lm(y ~ x, data = z[1:4,]))
coef(lm(y ~ x, data = z[2:5,]))
First window indexes from i to i+w and second
window from (i+1) to (i+w+1). Is there a efficient way to run regression
on second window if I am given the results of regression on the first
window.
Yes, the above computations are not efficient but use a brute-force
approach. I'm not sure whether there is a rolling regression
implementation that uses an updating algorithm.
Z
Regards
Sid
--Original Message--
From: Achim Zeileis
To: siddharth.gar...@gmail.com
Cc: Dennis Murphy
Cc: R-help@r-project.org
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 it.
Regards
Sid
Sent on my BlackBerry? from Vodafone
-Original Message-
From: Dennis Murphy
Date: Wed, 18 Aug 2010 08:46:49
To:
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 implementations available, including graphics
functions. The basic function is loess(); the window width is related to the
span = parameter of that function.
HTH,
Dennis
On Wed, Aug 18, 2010 at 2:08 AM, wrote:
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) to (i+w+1).
Thanks
Sid
Sent on my BlackBerry? from Vodafone
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
Sent on my BlackBerry® from Vodafone__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling window linear regression
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 it.
Regards
Sid
Sent on my BlackBerry? from Vodafone
-Original Message-
From: Dennis Murphy
Date: Wed, 18 Aug 2010 08:46:49
To:
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 implementations available, including graphics
functions. The basic function is loess(); the window width is related to the
span = parameter of that function.
HTH,
Dennis
On Wed, Aug 18, 2010 at 2:08 AM, wrote:
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) to (i+w+1).
Thanks
Sid
Sent on my BlackBerry? from Vodafone
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling window linear regression
Thanks, I will try it.
Regards
Sid
Sent on my BlackBerry® from Vodafone
-Original Message-
From: Dennis Murphy
Date: Wed, 18 Aug 2010 08:46:49
To:
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 implementations available, including graphics
functions. The basic function is loess(); the window width is related to the
span = parameter of that function.
HTH,
Dennis
On Wed, Aug 18, 2010 at 2:08 AM, wrote:
> 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) to (i+w+1).
>
> Thanks
> Sid
> Sent on my BlackBerry® from Vodafone
>__
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[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) to (i+w+1). Thanks Sid Sent on my BlackBerry® from Vodafone __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
