On Thu, 19 Aug 2010, siddharth.gar...@gmail.com wrote:
Hi
That's right, but that isn't what I am trying to achieve. When we have a
rolling window, the only difference between two neighboring windows is
first and the last point.
Yes, this is what the example does. Consider the following artificial
example:
## artificial bivariate series of length 5
set.seed(1)
z <- zoo(matrix(rnorm(10), ncol = 2))
colnames(z) <- c("y", "x")
## rolling regression of width 4
rollapply(z, width = 4,
function(x) coef(lm(y ~ x, data = as.data.frame(x))),
by.column = FALSE, align = "right")
## result is identical to
coef(lm(y ~ x, data = z[1:4,]))
coef(lm(y ~ x, data = z[2:5,]))
First window indexes from i to i+w and second
window from (i+1) to (i+w+1). Is there a efficient way to run regression
on second window if I am given the results of regression on the first
window.
Yes, the above computations are not efficient but use a brute-force
approach. I'm not sure whether there is a rolling regression
implementation that uses an updating algorithm.
Z
Regards
Sid
------Original Message------
From: Achim Zeileis
To: siddharth.gar...@gmail.com
Cc: Dennis Murphy
Cc: R-help@r-project.org
Subject: Re: [R] Rolling window linear regression
Sent: Aug 19, 2010 12:42 PM
The function rollapply() in package "zoo" can be used to run rolling
regressions. See the examples in the manual page for a worked example.
On Thu, 19 Aug 2010, siddharth.gar...@gmail.com wrote:
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
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