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 ORCID iD [cre, aut], Madeleine Thompson [cph]
Maintainer: Benjamin Christoffersen <boennecd at>
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.
NeedsCompilation: yes
SystemRequirements: C++11
Materials: NEWS
CRAN checks: rollRegres results


Reference manual: rollRegres.pdf
Vignettes: Computation time and features


Package source: rollRegres_0.1.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): rollRegres_0.1.4.tgz, r-oldrel (arm64): rollRegres_0.1.4.tgz, r-release (x86_64): rollRegres_0.1.4.tgz, r-oldrel (x86_64): rollRegres_0.1.4.tgz
Old sources: rollRegres archive


Please use the canonical form to link to this page.