On 27-05-2013, at 17:12, ivo welch <ivo.we...@anderson.ucla.edu> wrote:
> dear R experts---I would like to update OLS regressions with new > observations on the front of the data, and delete some old > observations from the rear. my goal is to have a "flexible" > moving-window regression, with a minimum number of observations and a > maximum number of observations. I can keep (X' X) and (X' y), and add > or subtract observations from these two quantities myself, and then > use crossprod. > > strucchange does recursive residuals, which is closely related, but it > is not designed for such flexible movable windows, nor primarily > designed to produce standard errors of coefficients. > > before I get started on this, I just wanted to inquire whether someone > has already written such a function. > For regression one would use a QR decomposition. There is an opensource Fortran library qrupdate (http://sourceforge.net/projects/qrupdate/) that can update an unpivoted QR decomposition for the case of deleting rows/columns and inserting rows/columns. It could be used to make an R package, which could be used for doing a moving window regression. Quite a lot of work. Berend ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
