Look at the biglm package. It does 2 of the 3 things that you asked for: Construct an initial lm fit and add a new block of data to update that fit. It does not remove data, but you may be able to look at the code and figure out a way to modify it to do the final piece.
On Mon, May 27, 2013 at 9:12 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. > -- Gregory (Greg) L. Snow Ph.D. 538...@gmail.com [[alternative HTML version deleted]] ______________________________________________ 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.
