[R-sig-finance] negative weights

[BBands]

On 4/28/06, Dirk Eddelbuettel <edd at debian.org> wrote:
> So negative weights don't really fit that framework. That said, from a purely
> numerical as opposed to statistical point of view you can probably minimize a
> suitable expression with nls() or optim().  But you'd be 'on your own out
> there'.

Hi Dirk,

I was looking for an all-in sort of solution, but preprocessing the
data will get me where I need to go, so no traipsing around in the
'out there' for me. Perhaps I don't have the necessary statistical
sophistication, but negative weights for linear models seem like a
perfectly reasonable solution to the problem of different forecasting
abilities at different horizons.

     jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.