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Rolling statistics of series of two random variables #14

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Chemcy opened this issue May 28, 2018 · 0 comments
Open
6 tasks

Rolling statistics of series of two random variables #14

Chemcy opened this issue May 28, 2018 · 0 comments

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@Chemcy
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Chemcy commented May 28, 2018

  • PROD, rolling mean of X * Y: 1/window * sum(x*y)
  • COV, rolling covariance of X, Y, PROD - mean(X) * mean(Y)
  • CORR, rolling correlation of X, Y, COV / (std(X) * std(Y))
  • SLOPE, rolling estimation of slope of regression: y = inteception + slope * x + \epsilon, COV / var(X)
  • INTERCEPT, rolling estimation of intercept of regression: y = inteception + slope * x + \epsilon, ...
  • BETA, rolling estimation of y = \beta * x + \epsilon
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