| rollingRegression {PerformanceAnalytics} | R Documentation |
calculates rolling regression statistics on a return stream.
rollingRegression(formula, data, width, ...)
formula |
regression formula for lm |
data |
data set for lm |
width |
size of the window over which to roll |
... |
any other passthru parameters |
This code was posted by Douglas Bates to the R-help mailing list in response to a question posted by Ajay Shah. For the full discussion, see: http://www.mail-archive.com/r-help@stat.math.ethz.ch/msg19544.html
Douglas Bates
http://www.mail-archive.com/r-help@stat.math.ethz.ch/msg19544.html