PerformanceAnalytics (version 0.9.5)

rollingRegression: Rolling Regression on Returns

Description

calculates rolling regression statistics on a return stream.

Usage

rollingRegression(formula, data, width, ...)

Arguments

formula

regression formula for lm

data

data set for lm

width

size of the window over which to roll

...

any other passthru parameters

Value

References

http://www.mail-archive.com/[e-mail]/msg19544.html

See Also

lm apply