[R] updating observations in lm

[Bert Gunter]

Ivo:

1. You should not be fitting linear models as you describe. For why
not and  how they should be fit, consult a suitable text on numerical
methods (e.g. Givens and Hoeting).

2. In R, I suggest using lm() and ?update, feeding update() data
modified as you like. This is, after all, the reason for update().

-- Bert

On Mon, May 27, 2013 at 8:12 AM, 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.
>
> regards,
>
> /iaw
> ----
> Ivo Welch (ivo.welch at gmail.com)
>
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-- 

Bert Gunter
Genentech Nonclinical Biostatistics

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