For loop in linear regression for number of assets

Question

Natalia Soloviova 2019-3-20

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/451270-for-loop-in-linear-regression-for-number-of-assets

评论： dpb 2020-4-7

Hello!

I need to build linear regressions for variety of assets (more than 50) to get coefficients, pValues and Rsqured for each assets

My code is

X = Indreturn; %(historical data of market index returns)
Y=EFreturn(:,:); %(historical data of assests — 56 equity funds' returns)
for index = 1:56
 md = fitlm(X,Y(:,index));
end 

The problem is that I have linear regression output only for the last 56th fund as if I just write

y56 = EFreturn(:,56);
x = Indreturn;
md56=fitlm(x,y56);

I can do it 56 times for each asset of course, but I would like to know how to optimise this process and save time.

Thank you!

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Answer 1

dpb 2019-3-20

1
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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/451270-for-loop-in-linear-regression-for-number-of-assets#answer_366490

在 MATLAB Online 中打开

X = Indreturn;                                 %(historical data of market index returns)
Y=EFreturn(:,:);                               %(historical data of assests — 56 equity funds' returns)
N=size(Y,2);                    % number funds in array Y
md=cell(N,1);                   % preallocate cell array to hold each model result
for index = 1:N
 md{index} = fitlm(X,Y(:,index));
end 