mmse

mmse(Y, X, window, [minPeriods])

Please see mFunctions for windowing logic.

Y is a vector indicating the dependent variable.

X is a vector indicating the independent variable.

window is an integer no smaller than 2 or a scalar of DURATION type indicating the size of the sliding window. Note: The window size is capped at 102400 when m-functions are used in the streaming engines.

minPeriods (optional) is a positive integer indicating the minimum number of observations in a window required to be not NULL (otherwise the result is NULL).

Return the coefficient estimates of X and mean square errors of an ordinary-least-squares regression of Y on X with intercept with a rolling window. The length of the window is given by the parameter window.

The mean square error (MSE) is calculated with the following formula:

The result is a tuple with 2 vectors. The first vector is the coefficient estimates and the second vector is the mean square errors. Each vector is of the same length as X and Y.

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;

mmse(y, x, 5)[0];
// output
[,,,,0.818182,1.692379,1.188532]

mmse(y, x, 5)[1];
// output
[,,,,0.000055,0.000231,0.000332]

select y, x, mmse(y,x,5,3) as `mbeta`mmse from table(x,y);