Fast Rolling and Expanding Window Linear Regression
Overview
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).
- added missing char array length arguments to Fortran calls.
- fix an issue with the
groupargument when the first group(s) is ignored there is a "hole" in the subsequent window. This previously caused a crash.
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- RR 4.4.0 released · 2024-04-24
- archivedRemoved from CRAN2023-09-18issues were not corrected in time Incorrect use of headers
- RR 4.3.0 released · 2023-04-21
- 0.1.42022-05-04 · diff ↗
- RR 4.2.0 released · 2022-04-22
- RR 4.1.0 released · 2021-05-18
- RR 4.0.0 released · 2020-04-24
- unarchivedReturned to CRAN2019-11-25
- 0.1.32019-11-25 · diff ↗
- archivedRemoved from CRAN2019-11-21misrepresentation of authorship No credit for included LINPACK routines
- 0.1.22019-04-26 · diff ↗
- RR 3.6.0 released · 2019-04-26
- 0.1.12018-09-12 · diff ↗
- 0.1.02018-07-02
- RR 3.5.0 released · 2018-04-23
Package metadata
- First published
- 2018-07-02
- Total releases
- 5 / 8 yrs
- License
- GPL-2 OSI
- 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.
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