Thanks, I will try it. Regards Sid Sent on my BlackBerry® from Vodafone
-----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 >______________________________________________ > 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. > [[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.