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You're reading from  Learning Quantitative Finance with R

Product typeBook
Published inMar 2017
Reading LevelIntermediate
PublisherPackt
ISBN-139781786462411
Edition1st Edition
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Authors (2):
Dr. Param Jeet
Dr. Param Jeet
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Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

PRASHANT VATS
PRASHANT VATS
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PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS

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Multivariate linear regression


In multiple linear regression, we try to explain the dependent variable in terms of more than one predictor variable. The multiple linear regression equation is given by the following formula:

Here are multiple linear regression parameters and can be obtained by minimizing the sum of squares, which is also known as the OLS method of estimation.

Let us an take an example where we have the dependent variable StockYPrice and we are trying to predict it in terms of independent variables StockX1Price, StockX2Price, StockX3Price, and StockX4Price, which are present in the dataset DataMR.

Now let us fit the multiple regression model and get parameter estimates of multiple regression:

> MultipleR.lm = lm(StockYPrice ~  StockX1Price + StockX2Price +  StockX3Price + StockX4Price,  data=DataMR) 
> summary(MultipleR.lm) 

When we execute the preceding code, it fits the multiple regression model on the data and gives the basic summary of statistics associated...

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Learning Quantitative Finance with R
Published in: Mar 2017Publisher: PacktISBN-13: 9781786462411

Authors (2)

author image
Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

author image
PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS