rollingRegression {PerformanceAnalytics} | R Documentation

## Rolling Regression on Returns

### Description

calculates rolling regression statistics on a return stream.

### Usage

    rollingRegression(formula, data, width, ...)

### Arguments

`formula` | regression formula for `lm`
`data` | data set for `lm`
`width` | size of the window over which to roll
`...` | any other passthru parameters

### Value

### Note

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

### Author(s)

Douglas Bates

### References

http://www.mail-archive.com/r-help@stat.math.ethz.ch/msg19544.html

### See Also

`lm`
`apply`

### Examples

[Package PerformanceAnalytics version 0.9.5 Index]