rollingRegression    package:PerformanceAnalytics    R Documentation

_R_o_l_l_i_n_g _R_e_g_r_e_s_s_i_o_n _o_n _R_e_t_u_r_n_s

_D_e_s_c_r_i_p_t_i_o_n:

     calculates rolling regression statistics on a return stream.

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

 formula: regression formula for 'lm' 

    data: data set for 'lm' 

   width: size of the window over which to roll 

     ...: any other passthru parameters 

_V_a_l_u_e:

_N_o_t_e:

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

_A_u_t_h_o_r(_s):

     Douglas Bates

_R_e_f_e_r_e_n_c_e_s:

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

_S_e_e _A_l_s_o:

     'lm' 
      'apply'

_E_x_a_m_p_l_e_s:

