• kdb+

  rolling linear regression in q

  Posted by powerpeanuts on August 22, 2022 at 12:00 am

  hi, is there a function to compute rolling linear regression (multiple independent variables) for a q table?

  I am looking for something like https://www.statsmodels.org/dev/generated/statsmodels.regression.rolling.RollingOLS.html in python. Thanks.

   

  pseudo code:

  e.g. rlreg[n;endog;exog]

  select rlreg[20;col1;(col2;col3)] from table… -> the result is a list of betas

   

  powerpeanuts replied 8 months, 1 week ago 2 Members · 2 Replies
• 2 Replies

• 

  baichen

  Member

  August 22, 2022 at 12:00 am

   

  tData:([]y:10?100.0;x1:10?10.0;x2:10?20.0;x3:10?30.0;const:1.0) 
  tData 
  y x1 x2 x3 const 
  ------------------------------------------- 
  8.226874 2.037285 8.538354 16.01854 1 
  51.32018 7.757617 15.40955 28.16125 1 
  49.47829 0.6938325 0.3188056 9.083402 1 
  86.65565 4.101914 7.146077 13.34548 1 
  64.14975 2.337549 0.5094767 13.24347 1 
  90.82711 7.125845 13.76178 21.80396 1 
  97.96094 1.392257 12.75511 29.98824 1 
  30.77491 2.701876 0.7691273 22.29986 1 
  36.52273 6.357182 17.94471 7.113864 1 
  95.91177 7.771303 15.87103 17.01243 1 
  
  rolling:{[w;t] (w-1)_({ 1_x,y }[w#delete from t;t])} 
  fn:{[t;Y;X] 
         yx:enlist t[Y] mmu flip t[`const,X];
         xx:x mmu flip[x:t[`const,X]];yx lsq xx} 
  fn[;`y;`x1`x2`x3] each rolling[5;tData] 
  49.22355 4.14351 -3.200252 -0.6170487 
  30.90215 9.65294 -4.097335 0.03631143 
  41.24432 -5.843066 0.4397651 1.026252 
  14.49142 -2.988273 -0.3123183 2.138712 
  6.81604 -5.333931 1.68819 1.800037 
  -18.19828 -2.163089 3.582677 1.640662

   

   

   

  It returns rows of lists of betas with rolling window:5

   

• 

  baichen

  Member

  August 22, 2022 at 12:00 am

  Wrapped them into function:

  tabData:([]y:10?100.0;x1:10?10.0;x2:10?20.0;x3:10?30.0;const:1.0); 
  main:{[n;y;xs;tab] rolling:{[w;t] (w-1)_({ 1_x,y }[w#delete from t;t])}; 
  fn:{[t;Y;X] 
        yx:enlist t[Y] mmu flip t[`const,X];
        xx:x mmu flip[x:t[`const,X]];yx lsq xx}; 
        fn[;y;xs] each rolling[n;tab] } 
  betas:main[5;`y;`x1`x2`x3;tabData]

   

   

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