Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis

Eleftherios Giovanis ()

MPRA Paper from University Library of Munich, Germany

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 (search for similar items in EconPapers)
JEL-codes: C22 C45 C53 C63 (search for similar items in EconPapers)
Date: 2008-08-10
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24658

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