Gentlemans as 274 algorithm allows weights, so adding an obs with a weight
of -1 would do the trick of removing obs, too.

This may be a good job for hadwell wickhams c code interface.
 On May 27, 2013 12:47 PM, "Berend Hasselman" <bhh@xs4all.nl> wrote:

>
> On 27-05-2013, at 17:12, ivo welch <ivo.welch@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
>
>
>

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