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

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

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Year of publication:	2010
Authors:	Giovanis, Eleftherios
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Algorithmus \| Algorithm

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