RLS: Recursive Least Squares
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
RLS R Documentation
Recursive Least Squares
Description
Compute recursive least squares estimation
Usage
RLS(y, x, ist = 30, xpxi = NULL, xpy0 = NULL)
Arguments
y
data of dependent variable
x
data matrix of regressors
ist
initial number of data points used to start the estimation
xpxi
Inverse of the X'X matrix
xpy0
Initial value of X'y.
Value
beta
Time-varying regression coefficient estimates
resi
The residual series of recursive least squares estimation
Note
This function is used internally, but can also be used as a command.
Author(s)
Ruey S. Tsay
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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.
| RLS | R Documentation |
Recursive Least Squares
Description
Compute recursive least squares estimation
Usage
RLS(y, x, ist = 30, xpxi = NULL, xpy0 = NULL)
Arguments
y |
data of dependent variable |
x |
data matrix of regressors |
ist |
initial number of data points used to start the estimation |
xpxi |
Inverse of the X'X matrix |
xpy0 |
Initial value of X'y. |
Value
beta |
Time-varying regression coefficient estimates |
resi |
The residual series of recursive least squares estimation |
Note
This function is used internally, but can also be used as a command.
Author(s)
Ruey S. Tsay
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.