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

Value

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

Author(s)

R. Koenker

References

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

See Also

khmaladzize

Results