rollRegres: Fast Rolling and Expanding Window Linear Regression

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 Dongarra, Moler, Bunch, and Stewart (1979) <doi:10.1137/1.9781611971811>).

Package details

AuthorBenjamin Christoffersen [cre, aut], Madeleine Thompson [cph]
MaintainerBenjamin Christoffersen <>
Package repositoryView on CRAN
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rollRegres documentation built on Dec. 1, 2019, 1:12 a.m.