rollRegres: Fast Rolling and Expanding Window Linear Regression
Version 0.1.0

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) ).

Package details

AuthorBenjamin Christoffersen [cre, aut]
Date of publication2018-07-02 09:10:03 UTC
MaintainerBenjamin Christoffersen <[email protected]>
LicenseGPL-2
Version0.1.0
URL https://github.com/boennecd/rollRegres
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("rollRegres")

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rollRegres documentation built on July 2, 2018, 5:02 p.m.