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.
