Computational Finance Journal

Sunday, July 09, 2006

hillclimb based regression

Starting with Y and X1 to Xn, find the Xi which is most correlated and eliminate it's effect from Y and other Xs left. Then repeat the process and at the final step compute the coefficient of the X as per the one variable regression problem. Then returning back the recursion keep adding coeffienmnts for each variable using the one variable regression formula and add the parts which where removed from the variables. A better discussion of it can be found in a report by Taranbir Singh and Rakesh Garwal.