Look at the biglm package.  It does 2 of the 3 things that you asked for:
 Construct an initial lm fit and add a new block of data to update that
fit.  It does not remove data, but you may be able to look at the code and
figure out a way to modify it to do the final piece.


On Mon, May 27, 2013 at 9:12 AM, 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.
>
> regards,
>
> /iaw
> ----
> Ivo Welch (ivo.welch@gmail.com)
>
> ______________________________________________
> 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.
>



-- 
Gregory (Greg) L. Snow Ph.D.
538280@gmail.com

	[[alternative HTML version deleted]]

