Thanks, I will try it.

Regards
Sid
Sent on my BlackBerry® from Vodafone

-----Original Message-----
From: Dennis Murphy <djmuser@gmail.com>
Date: Wed, 18 Aug 2010 08:46:49 
To: <siddharth.garg85@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.garg85@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]]

