rls_update_cpp

Matrix of input variables (design matrix)

Vector of parameters (initial value)

theta

lambda

istart

Keep only the last kmax rows for next time

kmax

This function applies the k-step recursive least squares scheme to estimate
parameters in a linear regression model.

A framework for fitting adaptive forecasting models. Provides a way to use forecasts as input to models, e.g. weather forecasts for energy related forecasting. The models can be fitted recursively and can easily be setup for updating parameters when new data arrives. See the included vignettes, the website <https://onlineforecasting.org> and the pre-print paper "onlineforecast: An R package for adaptive and recursive forecasting" <arXiv:2109.12915>.

rls_update_cpp: Calculating k-step recursive least squares estimates

Description

Arguments