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: |
0.1.4 |
| Imports: |
Rcpp, checkmate |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown, testthat, zoo, roll, microbenchmark, RcppParallel |
| Published: |
2022-05-04 |
| 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 |
Documentation:
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