dear R experts---I would like to update OLS regressions with new observations on the front of the data, and delete some old observations from the rear. my goal is to have a "flexible" moving-window regression, with a minimum number of observations and a maximum number of observations. I can keep (X' X) and (X' y), and add or subtract observations from these two quantities myself, and then use crossprod.
strucchange does recursive residuals, which is closely related, but it is not designed for such flexible movable windows, nor primarily designed to produce standard errors of coefficients. before I get started on this, I just wanted to inquire whether someone has already written such a function. regards, /iaw ---- Ivo Welch (ivo.we...@gmail.com) ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
