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
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