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Re: Large control loops

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  • Subject: [mg122331] Re: Large control loops
  • From: Arthur <shukrri at>
  • Date: Tue, 25 Oct 2011 06:18:38 -0400 (EDT)
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  • References: <j80qff$ael$> <j83aon$k7c$>


The vector in the first column is the common vector. It is the
independent variable in the subsequent regressions - I am regressing
first to find the correlation between it and each of the other
vectors. It's all numbers.

OLS regressions.

I am estimating the parameters through a secondary regression on the
residuals of the first and then some basic algebra. It's an Ornstein-
Uhlenbeck process, I am using the first procedure outlined here

I am not so much worried about the time (although that too is a
concern) but the actual structure. Should it just be a long while



> You haven't said what the elements of A and the common vector are.
> Are they all numeric? If so then make sure they're packed arrays.
> Also, you haven't said which direction the regressions are going.
> Is the common vector the predictor or the response?
> What kind of regressions? Ordinary least-squares linear, with an
> intercept? Or something more complicated?
> And how are you estimating the stochastic process parameters?
> Is this step likely to take most of the time?
> All I can suggest now is that things will probably go faster if
> you transpose A so that you work with rows instead of columns.

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