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 Dongarra, Moler, Bunch, and Stewart (1979) <doi:10.1137/1.9781611971811>).

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Description file content

Package
rollRegres
Type
Package
Title
Fast Rolling and Expanding Window Linear Regression
Version
0.1.1
Description
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) ).
Copyright
Jack Dongarra, Jim Bunch, Cleve Moler, and Gilbert Stewart due to the LINPACK routines `dchdd` and `dchud`.
License
GPL-2
Encoding
UTF-8
LazyData
true
LinkingTo
Rcpp, RcppArmadillo
Imports
Rcpp, checkmate
Suggests
knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel
VignetteBuilder
knitr
RoxygenNote
6.0.1
BugReports
https://github.com/boennecd/rollRegres/issues
SystemRequirements
C++11
URL
NeedsCompilation
yes
Packaged
2018-09-12 18:34:35 UTC; User
Author
Benjamin Christoffersen [cre, aut]
Maintainer
Benjamin Christoffersen
Repository
CRAN
Date/Publication
2018-09-12 18:50:02 UTC

install.packages('rollRegres')

0.1.1

2 months ago

https://github.com/boennecd/rollRegres

Benjamin Christoffersen

GPL-2

Imports

Rcpp, checkmate

Suggests

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

Discussions