hi bert---thanks for the answer. my particular problem is well conditioned [stock returns] and speed is very important.
about 4 years ago, I asked for speedier alternatives to lm (and you helped me on this one, too), and then checked into the speed/accuracy tradeoff. http://r.789695.n4.nabble.com/very-fast-OLS-regression-td884832.html . for the particular problem I had, solve(crossprod(x),crossprod(x,y)) worked reasonably well. moreover, it is easy to debug, being so simple. it was faster than lm() by a factor 5.. (for a more generic library use, it would be nice to have a warning flag when this "algorithm" fails, in which case it would fall back on a more robust algorithm or at least emit a warning. I wonder how much it would cost to check the condition of the matrix before deciding on the algorithm.) I looked at update(), but its documentation seems to refer to updating models, not observations. even if it did, given the speed of lm(), I don't think it will be that useful. regards, /iaw ---- Ivo Welch (ivo.we...@gmail.com) On Mon, May 27, 2013 at 9:26 AM, Bert Gunter <gunter.ber...@gene.com> wrote: > Ivo: > > 1. You should not be fitting linear models as you describe. For why > not and how they should be fit, consult a suitable text on numerical > methods (e.g. Givens and Hoeting). > > 2. In R, I suggest using lm() and ?update, feeding update() data > modified as you like. This is, after all, the reason for update(). > > -- Bert > > On Mon, May 27, 2013 at 8:12 AM, ivo welch <ivo.we...@anderson.ucla.edu> > wrote: >> 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. > > > > -- > > Bert Gunter > Genentech Nonclinical Biostatistics > > Internal Contact Info: > Phone: 467-7374 > Website: > http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm ______________________________________________ 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.
