Methods for fast rolling and expanding linear regression models. That is, series of linear regression models estimated on either an expanding window of data or a moving window of data. The methods use rank-one updates and downdates of the upper triangular matrix from a QR decomposition (see J. J. Dongarra, C. B. Moler, J. R. Bunch, and G. W. Stewart (1979)
|Author||Benjamin Christoffersen [cre, aut]|
|Date of publication||2018-07-02 09:10:03 UTC|
|Maintainer||Benjamin Christoffersen <[email protected]>|
|Package repository||View on CRAN|
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