[R] updating observations in lm

[Berend Hasselman]

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