[R] Updating a linear model

[Paul Meagher]

My google search for Plackett's Algorithm didn't return too much except that
Plackett's algorithm appears to be useful in Control Theory - it is
elaborated as "Plackett's algorithm for on-line recursive least squares
estimation".  Sounds something like what I want.

I am looking at developing a user modelling type app (new data points coming
in and wanting to dynamically update regression co-efficients for each user)
which could be viewed as a type of control problem.

Regards,
Paul

----- Original Message ----- 
From: "Rolf Turner" <rolf at math.unb.ca>
To: <paul at datavore.com>
Sent: Monday, September 22, 2003 3:36 PM
Subject: Re: [R] Updating a linear model


>
> As Thomas Lumley just said, there's nothing implemented in R.  The
> updating procedure is well-known and worked out; it is (in my
> experience) referred to as ``Plackett's Algorithm''.
>
> The reference I have to hand for this --- should you wish to roll
> your own --- is:
>
> Rao, C. Radhakrishna, Linear Statistical Inference and Its
> Applications, John Wiley \& Sons, New York, 1968,  page 29,
> Exercise 2.8
>
> There are --- almost surely --- better references, but I don't
> know them.
> cheers,
>
> Rolf Turner
> rolf at math.unb.ca
>