[R-SIG-Finance] best method for rolling forecast based on linear fit
Brian G. Peterson
brian at braverock.com
Thu Aug 16 19:44:51 CEST 2007
John Putz wrote:
> A basic question. Can anybody point me towards the best method to use to perform a rolling 1 step ahead forecast of a price series based on a rolling N day linear fit? I believe I used the dse package in the past, but my recollection is it was somewhat cumbersome.
If you're using a linear model as your predictor, it's not strictly
speaking a "one step ahead" prediction, but rather an ex post rolling
"best" is highly subjective depending on how fancy you want to be.
zoo has the rollapply function with a configurable window to roll over.
The rollingRegression function in PerformanceAnalytics might make things
a little easier to use.
There are also many robust regressors that you might wish to consider,
especially if you're using a relatively short window.
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