This function fits a linear model by recursive least squares. It is
a utility routine for the KhmaladzeTest
function of the quantile regression
package.
lm.fit.recursive(X, y, int=TRUE)
Design Matrix
Response Variable
if TRUE then append intercept to X
return p by n matrix of fitted parameters, where p. The ith column gives the solution up to "time" i.
A. Harvey, (1993) Time Series Models, MIT