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 J. J. Dongarra, C. B. Moler, J. R. Bunch, and G. W. Stewart (1979) <doi:10.1137/1.9781611971811>).

Version: 0.1.0
Imports: Rcpp, checkmate
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel
Published: 2018-07-02
Author: Benjamin Christoffersen [cre, aut]
Maintainer: Benjamin Christoffersen <boennecd at>
License: GPL-2
Copyright: Jack Dongarra, Jim Bunch, Cleve Moler, and Gilbert Stewart due to the LINPACK routines `dchdd` and `dchud`.
NeedsCompilation: yes
SystemRequirements: C++11
CRAN checks: rollRegres results


Reference manual: rollRegres.pdf
Vignettes: Computation time and features
Package source: rollRegres_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: rollRegres_0.1.0.tgz, r-oldrel: rollRegres_0.1.0.tgz


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