Rolling Beta For Multiple x and y variables simultaneously
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Dwight Schrute III
el 4 de Sept. de 2019
Comentada: Dwight Schrute III
el 9 de Sept. de 2019
Hello,
I have two matrices: One is an x-variable matrix (for example, 8 x variables as columns, with 1,000 rows, where each row represents a day). And one is a y-variable matrix (for example, 20 y variables as columns, with the same 1,000 rows).
I would like to calculate a matrix C that produces a rolling 100-day beta of each y variable to each x variable. Thus, C would have 20 * 8 = 160 columns. And moreover, since it's a rolling beta, the number of rows would be (1,000-100+1) = 901 rows (since the first 99 days wouldn't be eligible for a 100-day beta).
I have been playing around with various functions, e.g., corr, polyfit, and regress. However, none of these appear to address my query on rolling betas. In fact, I'm not sure I even see the ability to implement a rolling beta for just one variable in each matrix.
I would appreciate any guidance on this. Thank you!
10 comentarios
the cyclist
el 4 de Sept. de 2019
Another clarification ...
As you have pointed out, the number of coefficients you'll be calculating is
(number y's) * (number x's) * (number windows) = 20 * 8 * 901.
How do you want those arranged in the output? In a 20 x 8 x 901 numeric array? Or something else?
Respuesta aceptada
the cyclist
el 5 de Sept. de 2019
Editada: the cyclist
el 6 de Sept. de 2019
I believe this does what you intend.
% Set seed for reproducibility
rng default
% Set a few convenience parameters
N = 1000;
WINSIZE = 100;
XN = 8;
YN = 10;
% Simulate some data
x = randn(N,XN);
y = randn(N,YN);
% Calculate the number of window
numberWindows = N - WINSIZE + 1;
% Preallocate the output
output = zeros(YN,XN,numberWindows);
% Loop over the windows
for nw = 1:numberWindows
% Find the data for this window
thisWindowIndex = nw:(nw+WINSIZE-1);
thisWindowXData = x(thisWindowIndex,:);
thisWindowYData = y(thisWindowIndex,:);
for ny = 1:YN
for nx = 1:XN
% Solve the regression (returns intercept and slope)
tmp = [ones(WINSIZE,1) thisWindowXData(:,nx)]\thisWindowYData(:,ny);
% Store the slope
output(ny,nx,nw) = tmp(2);
end
end
end
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John D'Errico
el 4 de Sept. de 2019
Editada: John D'Errico
el 4 de Sept. de 2019
Is the x vector equally spaced? If so, then my movingslope code (found on the File Exchange) will do it trivially and efficiently.
If not, then nothing stops you from using a loop and polyfit. It still will be reasonably efficient. You could make it a little faster with carefully written code than polyfit, but why bother?
3 comentarios
John D'Errico
el 4 de Sept. de 2019
If the points are not evenly spaced, then the regression matrix changes for each location. You could write code that would work, not using a loop. It would look more elegant. It might take more memory though.
For example, you could write it using an update and downdate for a QR decomposition. Adding one point at the end, then dropping the first point. It would still be a loop. And the update/downdate would be slower then just throwing backslash at it, or even polyfit.
Or, given a simple regression for just a simple slope, you could do effectively the same thing. The formula for the slope is easy to write down. So, again, it would be easy to do, though still a loop.
Is this something you will be doing often? If so, then it would be worth the programmer time to do it better. But for a one shot deal, I'd not bother. CPU time is really cheap, and for a problem that is not a bottleneck in your task, a loop is easy.
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