#11




Re: Recency weighted regression

#12




Re: Recency weighted regression
* I meant "inner" product above NOT cross product.

#13




Re: Recency weighted regression
Scrap what I wrote above about large datasets causing havoc for the weight matrix. I found Octave already knows about such problems and has support for sparse matrices... very useful

#14




Re: Recency weighted regression
Yes, there is a closed form solution which is obtained by taking the into the square:
This is exactly an unscaled linear regression problem where you have rescaled each data point by . So, after you rescale your data in this way, you can just run your old regression algorithm without the weightings. Quote:
__________________
Have faith in probability 
#15




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): and for all my tests I am getting the same . 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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