The function rollapply() in package "zoo" can be used to run rolling
regressions. See the examples in the manual page for a worked example.
On Thu, 19 Aug 2010, siddharth.gar...@gmail.com wrote:
Thanks, I will try it.
Regards
Sid
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-----Original Message-----
From: Dennis Murphy <djmu...@gmail.com>
Date: Wed, 18 Aug 2010 08:46:49
To: <siddharth.gar...@gmail.com>
Subject: Re: [R] Rolling window linear regression
This is called kernel-based regression; the most popular version is loess.
Try
library(sos)
findFn('loess')
to see some of the various implementations available, including graphics
functions. The basic function is loess(); the window width is related to the
span = parameter of that function.
HTH,
Dennis
On Wed, Aug 18, 2010 at 2:08 AM, <siddharth.gar...@gmail.com> wrote:
Hi
Does there exists an efficient way of performing linear regression on
rolling windows in R.
The exact problem is:
We have a dataset of length l. The window size is w.
Now, I perform linear regression on window i to (i+w) . Using this model
can I perform linear regression over window (i+1) to (i+w+1).
Thanks
Sid
Sent on my BlackBerry? from Vodafone
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