rollRegres (0.1.3)

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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) ).

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

License: GPL-2

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

Released 4 months ago.

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