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) ).


rollRegres 0.1.1

  • handle data sets with gaps
  • add the option to require a minimum number of observations in a window
  • output with groups have changed such that the first window max grp value will have at least width - 1L distance from min(grp) in roll_regres and

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.3 by Benjamin Christoffersen, a year ago

Report a bug at

Browse source code at

Authors: Benjamin Christoffersen [cre, aut] , Madeleine Thompson [cph]

Documentation:   PDF Manual  

Task views:

GPL-2 license

Imports Rcpp, checkmate

Suggests knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel

Linking to Rcpp, RcppArmadillo

System requirements: C++11

See at CRAN