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Rolling regression #4075
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Yes, it is going to be added, someday, as mentioned in #2778 |
I am currently using the package rollRegres for rolling regressions, maybe you could borrow some ideas from it? |
I just found it and it looks very neat, pretty lightweight. It also seems to be feature rich. |
have you tried frollapply? as for an optimized rolling regression, if I'm not mistaken there is a formula from linear algebra for updating a linear regression when adding/subtracting one observation, but I'm not sure what linear algebra facilities are available in standard C libraries |
@MichaelChirico frollapply won't yet work for regression, see #2778 (comment), still waiting for feedback. When supported in frollapply, it will be much slower than |
The rollRegres package has been removed from CRAN for misrepresentation of authorship. |
GitHub version already fixes that so probably sooner or later will come back to CRAN. |
Great! I swear I looked for a Github page before mentioning it, but I simply must be blind. Found it now. |
I believe the rolling regression function is highly demanded by finance guys like me. I hope to see this functionality added soon. Fingers crossed... |
By the way, the r package roll also has a roll_lm function. Maybe you could borrow some ideas from it. |
I briefly went through https://cran.r-project.org/web/packages/rollRegres/vignettes/Comparisons.html and I am now not sure if we really want to have it in data.table. I agree it is highly demanded feature, but not sure if it is really necessary to have it in DT. @mattdowle what is your opinion on that? |
I haven't clicked any links or looked at any details, but yes if I understand correctly, if rollRegress can be used with data.table, then that's ideal and there's no need to build it into data.table. |
Seems Unless there's something specific & substantial to be gained by including this level of sophistication in |
Closing this FR. So far we are not really convinced to have that in scope. I remember I had to convince Matt to have even rolling mean :) We can always re-open in future, so feedback on that FR is still welcome here in this closed issue. |
This can be achieved using |
Just curious when will the rolling regression functionalities be added to data.table. I am totally using data.table for my data wrangling tasks and really hope I can do rolling regression in data.table.
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