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Old 08-25-2012, 03:35 AM
itooam itooam is offline
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Join Date: Jul 2012
Posts: 100
Default Re: Recency weighted regression

If above is correct, there are many way's in which I can trial my underlying project.
Both
1)
E_{in}=\sum_{t>3}(\mathbf{w\cdot x_t}-y_t)^2
and
2)
E_{in}=\sum_{t>3}\alpha_t(\mathbf{w\cdot x_t}-y_t)^2

are worth a try... and also a variation of 2) without x in the form: \mathbf{x}_t=[1,P_{t-1},P_{t-2},P_{t-3},P_{t-4}], just input variables of x that are only applicable at that time t.
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