rollingRegression

regression formula for <code><a href="/link/lm?package=PerformanceAnalytics&version=0.9.5" rd-options="" data-mini-rdoc="PerformanceAnalytics::lm">lm</a></code>

formula

data set for <code><a href="/link/lm?package=PerformanceAnalytics&version=0.9.5" rd-options="" data-mini-rdoc="PerformanceAnalytics::lm">lm</a></code>

data

width

calculates rolling regression statistics on a return stream.

multivariate

models

distribution

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams.  In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

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rollingRegression: Rolling Regression on Returns

Description

Usage

Arguments

Value

References

See Also