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rollRegres  

Fast Rolling and Expanding Window Linear Regression
View on CRAN: Click here


Download and install rollRegres package within the R console
Install from CRAN:
install.packages("rollRegres")

Install from Github:
library("remotes")
install_github("cran/rollRegres")

Install by package version:
library("remotes")
install_version("rollRegres", "0.1.4")



Attach the package and use:
library("rollRegres")
Maintained by
Benjamin Christoffersen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-07-02
Latest Update:
Description:
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) ).
How to cite:
Benjamin Christoffersen (2018). rollRegres: Fast Rolling and Expanding Window Linear Regression. R package version 0.1.4, https://cran.r-project.org/web/packages/rollRegres. Accessed 06 Mar. 2026.
Previous versions and publish date:
0.1.0 (2018-07-02 11:10), 0.1.1 (2018-09-12 20:50), 0.1.2 (2019-04-26 20:00), 0.1.3 (2019-11-25 10:20), 0.1.4 (2022-05-05 01:00)
Other packages that cited rollRegres R package
View rollRegres citation profile
Other R packages that rollRegres depends, imports, suggests or enhances
Functions, R codes and Examples using the rollRegres R package
Some associated functions: roll_regres.fit . roll_regres . 
Some associated R codes: RcppExports.R . roll_regres.R .  Full rollRegres package functions and examples
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