MTS: RLS – R documentation

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RLS

Recursive Least Squares

Compute recursive least squares estimation

RLS(y, x, ist = 30, xpxi = NULL, xpy0 = NULL)

`y`	data of dependent variable
`x`	data matrix of regressors
`ist`	initial number of data points used to start the estimation
`xpxi`	Inverse of the X'X matrix
`xpy0`	Initial value of X'y.

`beta`	Time-varying regression coefficient estimates
`resi`	The residual series of recursive least squares estimation

This function is used internally, but can also be used as a command.

Ruey S. Tsay

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8