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

Giovanis, Eleftherios (2008): Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis.

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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.

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