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) ).


News

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 roll_regres.fit

Reference manual

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install.packages("rollRegres")

0.1.1 by Benjamin Christoffersen, 6 months ago


https://github.com/boennecd/rollRegres


Report a bug at https://github.com/boennecd/rollRegres/issues


Browse source code at https://github.com/cran/rollRegres


Authors: Benjamin Christoffersen [cre, aut]


Documentation:   PDF Manual  


Task views: Time Series Analysis


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