quantreg (version 4.77)

lm.fit.recursive: Recursive Least Squares

Description

This function fits a linear model by recursive least squares. It is a utility routine for the khmaladzize function of the quantile regression package.

Usage

lm.fit.recursive(X, y, int=TRUE)

Arguments

X

Design Matrix

y

Response Variable

int

if TRUE then append intercept to X

Value

• return p by n matrix of fitted parameters, where p. The ith column gives the solution up to "time" i.

References

A. Harvey, (1993) Time Series Models, MIT

See Also

khmaladzize