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: | 0.1.3 |
| Imports: | Rcpp, checkmate |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel |
| Published: | 2019-11-25 |
| Author: | Benjamin Christoffersen [cre, aut], Madeleine Thompson [cph] |
| Maintainer: | Benjamin Christoffersen <boennecd at gmail.com> |
| BugReports: | https://github.com/boennecd/rollRegres/issues |
| License: | GPL-2 |
| Copyright: | (c) 2018-2019 Benjamin Christoffersen, except dchud.f and dchdd.f. They are originally from LINPACK and are in the public domain in the United States. They are modified by Madeleine Thompson. |
| URL: | https://github.com/boennecd/rollRegres |
| NeedsCompilation: | yes |
| SystemRequirements: | C++11 |
| Materials: | NEWS |
| CRAN checks: | rollRegres results |
| Reference manual: | rollRegres.pdf |
| Vignettes: |
Computation time and features |
| Package source: | rollRegres_0.1.3.tar.gz |
| Windows binaries: | r-devel: rollRegres_0.1.3.zip, r-release: rollRegres_0.1.3.zip, r-oldrel: rollRegres_0.1.3.zip |
| macOS binaries: | r-release: rollRegres_0.1.3.tgz, r-oldrel: rollRegres_0.1.3.tgz |
| Old sources: | rollRegres archive |
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