mbeta

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

Please see mFunctions for the parameters and windowing logic.

Calculate the coefficient estimate of an ordinary-least-squares regression of Y on X in a sliding window.

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);
// output
[,,,,0.818182,1.692379,1.188532]

mbeta(y, x, 5, 3);
// output
[,,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);

mbeta(y1, x1, 1w);

Related function: beta