updating observations in lm
On 27-05-2013, at 17:12, ivo welch <ivo.welch at 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.
For regression one would use a QR decomposition. There is an opensource Fortran library qrupdate (http://sourceforge.net/projects/qrupdate/) that can update an unpivoted QR decomposition for the case of deleting rows/columns and inserting rows/columns. It could be used to make an R package, which could be used for doing a moving window regression. Quite a lot of work. Berend