tmbeta

Syntax

tmbeta(T, Y, X, window)

Please see tmFunctions 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.

Details

T = 1 1 1 2 5 6
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmbeta(t, y, x, 3) from m
t x y tmbeta_t
1 1 2
1 4 5 1
1 2 -3 1.4286
2 -1 6 -0.3846
5 2 9
6 4 1 -4
T = 2021.01.02 2021.01.02  2021.01.04  2021.01.05 2021.01.07 2021.01.08
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmbeta(t, y, x, 3d) from m
t x y tmcorr_t
2021.01.02 1 2
2021.01.02 4 5 1
2021.01.04 2 -3 1.4286
2021.01.05 -1 6 -3
2021.01.07 2 9 1
2021.01.08 4 1 -4
select *, tmbeta(t, y, x, 1w) from m
t x y tmcorr_t
2021.01.02 1 2
2021.01.02 4 5 1
2021.01.04 2 -3 1.4286
2021.01.05 -1 6 -0.3846
2021.01.07 2 9 -0.1818
2021.01.08 4 1 -0.4444

Related Functions: mbeta, beta