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Old 08-28-2012, 04:15 AM
itooam itooam is offline
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Join Date: Jul 2012
Posts: 100
Default Re: Recency weighted regression

Thanks Magdon, I always manage to make things so much more complicated than they need to be. That equation you posted would have saved me hours - and it is so simple - why didn't I think of it? Instead I went the long way round, not a total loss though as has been a great learning curve for me

I tried your approach and compared to my workings (in one of my previous posts):
W_{reg} = (Z^{T} A Z+\lambda I)^{-1}Z^TAy

and for all my tests I am getting the same W_{reg}. So this is great news as confirms my formula was correct too .

Many thanks, I can't say enough how much your help is appreciated.
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