Hi all, Happy New Year!

Is there a function for exponentially weighted linear regression in R?

Usually, a linear regression is on a trunk of data...

And if I run linear regression on time series, I divide the time series
into "overlapped/rolling" windows and run linear regression on each rolling
chunk of data...

Is there a way to turn the rolling linear regression on the whole time
series into an exponentially weighted one, i.e. using a decay factor lambda
to give more weights to the newer observations...?

Are there packages in R which can do that?

Thanks a lot!

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