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 |
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Maintainer | |
License | GPL-2 |
Version | 0.1.4 |
URL | https://github.com/boennecd/rollRegres |
Package repository | View on GitHub |
Installation |
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