Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis
23 Pages Posted: 28 Aug 2010
Date Written: August 28, 2010
Abstract
In this paper we present a very brief description of least mean square algorithm with applications in time-series analysis of economic and financial time series. We present some numerical applications; forecasts for the Gross Domestic Product growth rate of UK and Italy, forecasts for S&P 500 stock index returns and finally we examine the day of the week effect of FTSE 100 for a short period. A full programming routine written in MATLAB software environment is provided for replications and further research applications.
Keywords: LMS, Least Mean Square Algorithm, MATLAB, Time-Series, Stock Returns, Gross Domestic Product, Forecast
JEL Classification: C22, C45, C53, C63, G10
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