rollRegres (0.1.2)

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Fast Rolling and Expanding Window Linear Regression.

https://github.com/boennecd/rollRegres
http://cran.r-project.org/web/packages/rollRegres

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) ).

Maintainer: Benjamin Christoffersen
Author(s): Benjamin Christoffersen [cre, aut]

License: GPL-2

Uses: checkmate, Rcpp, zoo, testthat, microbenchmark, knitr, RcppParallel, rmarkdown, roll

Released 7 months ago.


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