April 2015
Intermediate to advanced
340 pages
7h 21m
English
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Multivariate linear regression of factor models
Many Python packages such as SciPy come with several variants of regression functions. In particular, the statsmodels package is a complement to SciPy with descriptive statistics and estimation of statistical models. The official page for statsmodels is http://statsmodels.sourceforge.net/.
In this example, we will use the ols function of the statsmodels module to perform an ordinary least squares regression and view its summary.
Let's assume that you have implemented an APT model with seven factors that return the values of Y. Consider the following set of data collected over 9 time periods, 
to .
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.