roll_lm: Rolling Linear Regression
In QuantTools: Enhanced Quantitative Trading Modelling
Description
Usage
Arguments
Value
See Also
Description
Rolling linear regression calculates regression coefficients over n past paired values.
Others return numeric vector
Usage
1
2
3
roll_lm(x, y, n)
roll_correlation(x, y, n)
Arguments
x, y
numeric vectors
n
window size
Value
roll_lm returns data.table with columns alpha, beta, r, r.squared
See Also
Other technical indicators: bbands,
crossover, ema,
roll_percent_rank,
roll_range, roll_sd,
roll_volume_profile, rsi,
sma, stochastic
QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.
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Description Usage Arguments Value See Also
Description
Rolling linear regression calculates regression coefficients over n past paired values.
Others return numeric vector
Usage
1 2 3 | roll_lm(x, y, n)
roll_correlation(x, y, n)
|
Arguments
x, y |
numeric vectors |
n |
window size |
Value
roll_lm returns data.table with columns alpha, beta, r, r.squared
See Also
Other technical indicators: bbands,
crossover, ema,
roll_percent_rank,
roll_range, roll_sd,
roll_volume_profile, rsi,
sma, stochastic
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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