The essential trick here is the Sherman-Morrison-Woodbury formula. My quantreg package has a lm.fit.recursive function that implements a fortran version for adding observations, but like biglm I don't remove observations at the other end either.
Roger Koenker rkoen...@illinois.edu On May 27, 2013, at 2:07 PM, Greg Snow wrote: > 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. ______________________________________________ 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.
