Does anybody have multivariate linear regression and Autoregression

Community Support
1

Hi,

Does anybody have multivariate linear regression and Autoregression implementation in Q language? Thank you in advance!

afancy

2

Hmmmm,<o:p></o:p>

<o:p> </o:p>

The implementation that I have shown to you can be easily extended to the multivariate case. Just try. <o:p></o:p>

<o:p> </o:p>

Regarding autoregression what are you looking for? As you know autoregression normally refers to a time series.<o:p></o:p>

<o:p> </o:p>

Kim<o:p></o:p>

<o:p> </o:p>

Von: personal-kdbplus@googlegroups.com [mailto:personal-kdbplus@googlegroups.com] Im Auftrag von afancy
Gesendet: Donnerstag, 16. Januar 2014 17:46
An: personal-kdbplus@googlegroups.com
Betreff: [personal kdb+] Does anybody have multivariate linear regression and Autoregression implemention?<o:p></o:p>

<o:p> </o:p>

Hi,<o:p></o:p>

<o:p> </o:p>

Does anybody have multivariate linear regression and Autoregression implementation in Q language? Thank you in advance!<o:p></o:p>

<o:p> </o:p>

afancy<o:p></o:p>

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Submitted via Google Groups

3

Well, it is not easy to extend to the multivariate. For mutivariate, it has to operate matrix, like beta=(X’X)-1X’Y, very complicated. 

Yes, I need to do autoregression on time-series data.

4

Ok. I got it. Your implementation also support multivariate regression. Thanks! 

5

Be careful when using this function. It doesn’t support multidimensional dependent variable (multidimensional independent variable is not a problem). And as I said it can be easily extended.<o:p></o:p>

<o:p> </o:p>

Kim<o:p></o:p>

<o:p> </o:p>

Von: personal-kdbplus@googlegroups.com [mailto:personal-kdbplus@googlegroups.com] Im Auftrag von afancy
Gesendet: Sonntag, 19. Januar 2014 00:39
An: personal-kdbplus@googlegroups.com
Betreff: Re: [personal kdb+] Does anybody have multivariate linear regression and Autoregression implemention?<o:p></o:p>

<o:p> </o:p>

Ok. I got it. Your implementation also support multivariate regression. Thanks!