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发帖数: 235 | 1 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=923635
大家有谁懂adaptive regression参数估计的？我有个问题想问问。多谢。在上面那篇
文章的第四页，有一个adaptive regression model,我想问一下诸位，有谁懂adaptive
regression model parameter estimation的，该方法怎样运用到上面链接里的文章的
第四页的那样的adaptive regression model 里？r 里有什么好的相应package ?code
大致怎样？多谢！ | i*r
发帖数: 83 | 2 it appears to be just a moving average (8-wk window).
r package {nlme} look for gls fucntion, where you can specify the MA
parameter
gls(log(response) ~ \alpha + \beta_i*ith_day_of_week + + \beta*I(holiday),
correlatoin=corARMA(q=q)) # to get q-order moving average
you will need to determine the right value of order q using autocorrelation
plots such as acf() and pacf()
alternatively, you can try to calculate the 8-wk moving average using filter
()
tfilter = filter(log(response), rep(1/56, 56))
then just use lm() to fit model, e.g.,
lm(log(response) ~ \alpha + \beta_i*ith_day_of_week + + \beta*I(holiday) + \
beta*tfilter |
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