Ivo:
1. You should not be fitting linear models as you describe. For why
not and how they should be fit, consult a suitable text on numerical
methods (e.g. Givens and Hoeting).
2. In R, I suggest using lm() and ?update, feeding update() data
modified as you like. This is, after all, the reason
hi bert---thanks for the answer.
my particular problem is well conditioned [stock returns] and speed is
very important.
about 4 years ago, I asked for speedier alternatives to lm (and you
helped me on this one, too), and then checked into the speed/accuracy
tradeoff.
?lm.fit ## may be useful to you then. Have you tried it?
-- Bert
On Mon, May 27, 2013 at 9:52 AM, ivo welch ivo.we...@gmail.com wrote:
hi bert---thanks for the answer.
my particular problem is well conditioned [stock returns] and speed is
very important.
about 4 years ago, I asked for
Look at the biglm package. It does 2 of the 3 things that you asked for:
Construct an initial lm fit and add a new block of data to update that
fit. It does not remove data, but you may be able to look at the code and
figure out a way to modify it to do the final piece.
On Mon, May 27, 2013
The essential trick here is the Sherman-Morrison-Woodbury formula.
My quantreg package has a lm.fit.recursive function that implements
a fortran version for adding observations, but like biglm I don't remove
observations at the other end either.
Roger Koenker
rkoen...@illinois.edu
On May
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
Gentlemans as 274 algorithm allows weights, so adding an obs with a weight
of -1 would do the trick of removing obs, too.
This may be a good job for hadwell wickhams c code interface.
On May 27, 2013 12:47 PM, Berend Hasselman b...@xs4all.nl wrote:
On 27-05-2013, at 17:12, ivo welch
On 27-05-2013, at 21:57, ivo welch ivo.we...@gmail.com wrote:
Gentlemans as 274 algorithm allows weights, so adding an obs with a weight of
-1 would do the trick of removing obs, too.
This may be a good job for hadwell wickhams c code interface.
Searching for Gentlemans as 274 algorithm
8 matches
Mail list logo
