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Papers for Weighted Regression

Posted: November 28th, 2007, 10:47 pm
by shivinder
Hey ,I am trying to put a time decay factor in my Factor Model. I was wondering if anyone new of any good papers that might help me understand weighted regressions a little better.Thank you in advance shiv

Papers for Weighted Regression

Posted: November 30th, 2007, 5:47 pm
by CTD
Are you talking about weighted least squares? A simple wiki- search yields some useful info...Google is your friend in this case.

Papers for Weighted Regression

Posted: December 3rd, 2007, 5:11 pm
by terryzz24
There's a weighted regression toolbox in Matlab very useful. I'm using it as well.