mbeta
Syntax
mbeta(Y, X, window, [minPeriods])
Please see Moving Functions (m-functions) for the parameters and windowing logic.
Details
Calculate the coefficient estimate of an ordinary-least-squares regression of Y on X in a sliding window.
Examples
$ x=0.011 0.006 -0.008 0.012 -0.016 -0.023 0.018
$ y=0.016 0.009 -0.012 0.022 0.003 -0.056 0.002
$ mbeta(y, x, 5);
[,,,,0.818182,1.692379,1.188532]
$ mbeta(y, x, 5, 3);
[,,1.479381,1.594701,0.818182,1.692379,1.188532]
$ x1 = indexedSeries(date(2020.06.05)+1..7, x)
$ y1 = indexedSeries(date(2020.06.05)+1..7, y)
$ mbeta(y1, x1, 5d);
label |
col1 |
---|---|
2020.06.06 |
|
2020.06.07 |
1.4 |
2020.06.08 |
1.4794 |
2020.06.09 |
1.5947 |
2020.06.10 |
0.8182 |
2020.06.11 |
1.6924 |
2020.06.12 |
1.1885 |
$ mbeta(y1, x1, 1w);
label |
col1 |
---|---|
2020.06.06 |
|
2020.06.07 |
1.4 |
2020.06.08 |
1.4794 |
2020.06.09 |
1.5947 |
2020.06.10 |
0.8182 |
2020.06.11 |
1.6924 |
2020.06.12 |
1.2659 |
Related function: beta