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>).

Version: 0.1.1
Imports: Rcpp, checkmate
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel
Published: 2018-09-12
Author: Benjamin Christoffersen [cre, aut]
Maintainer: Benjamin Christoffersen <boennecd at gmail.com>
BugReports: https://github.com/boennecd/rollRegres/issues
License: GPL-2
Copyright: Jack Dongarra, Jim Bunch, Cleve Moler, and Gilbert Stewart due to the LINPACK routines `dchdd` and `dchud`.
URL: https://github.com/boennecd/rollRegres
NeedsCompilation: yes
SystemRequirements: C++11
Materials: NEWS
In views: TimeSeries
CRAN checks: rollRegres results

Downloads:

Reference manual: rollRegres.pdf
Vignettes: Computation time and features
Package source: rollRegres_0.1.1.tar.gz
Windows binaries: r-devel: rollRegres_0.1.1.zip, r-release: rollRegres_0.1.1.zip, r-oldrel: rollRegres_0.1.1.zip
OS X binaries: r-release: rollRegres_0.1.0.tgz, r-oldrel: rollRegres_0.1.0.tgz
Old sources: rollRegres archive

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