Package: rollRegres

Type: Package

Title: Fast Rolling and Expanding Window Linear Regression

Version: 0.1.4

Authors@R: c(person("Benjamin", "Christoffersen",

email = "boennecd@gmail.com",

role = c("cre", "aut"),

comment = c(ORCID = "0000-0002-7182-1346")),

person("Madeleine", "Thompson", role = "cph"))

Description: Methods for fast rolling and expanding linear regression models. That is, series of linear regression models estimated on either an expanding window of data or a moving window of data. The methods use rank-one updates and downdates of the upper triangular matrix from a QR decomposition (see Dongarra, Moler, Bunch, and Stewart (1979) <doi:10.1137/1.9781611971811>).

Copyright: (c) 2018-2019 Benjamin Christoffersen, except dchud.f and dchdd.f. They are originally from LINPACK and are in the public domain in the United States. They are modified by Madeleine Thompson.

License: GPL-2

Encoding: UTF-8

LazyData: true

LinkingTo: Rcpp, RcppArmadillo

Imports: Rcpp, checkmate

Suggests: knitr,

rmarkdown,

testthat,

zoo,

roll,

microbenchmark,

RcppParallel

VignetteBuilder: knitr

RoxygenNote: 7.0.0

BugReports: https://github.com/boennecd/rollRegres/issues

SystemRequirements: C++11

URL: https://github.com/boennecd/rollRegres