From: "Michael Robbins" <michael.robbins@us.cibc.com>
Path: news.mathworks.com!newsfeed!WebX
Newsgroups: comp.soft-sys.matlab
Subject: vectorized rolling regression?
Message-ID: <eebdf1d.-1@WebX.raydaftYaTP>
Date: Fri, 16 May 2003 08:06:38 -0400
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Xref: news.mathworks.com comp.soft-sys.matlab:161138


Has anyone come up with a vectorized rolling linear regression or
robust linear regression?


WINDOW=20;
[L,W]=size(y);
for i=L:-1:20
   X=[ones(size(x(i-20:i))) X(i-20:i)];
   Y=y(i-20:i);
   [b{i},bint{i},r{i},rint{i},stats{i}] = ...
   regress(Y,X);
   [br{i},statsr{i}] = robustfit(X,Y);
end;


Or even better one that will vectorize this


WINDOW=20;
[L,W]=size(y);
for i=1:L
   for j=1:W
       X=[ones(size(x(i-20:i,j))) X(i-20:i,j)];
       Y=y(i-20:i,j);
       [b{i,j},bint{i,j},r{i,j},rint{i,j},stats{i,j}] = ...
   regress(Y,X);
   [br{i,j},statsr{i,j}] = robustfit(X,Y);
end;


What about just for either regress or robustfit if you don't know how
to do both?