[R] Rolling window linear regression

[siddharth.garg85 at gmail.com]

Hi

Does there exists an efficient way of performing linear regression on rolling windows in R.

The exact problem is:

We have a dataset of length l. The window size is w.

Now, I perform linear regression on window i to (i+w) . Using this model can I perform linear regression over window (i+1) to (i+w+1).

Thanks
Sid
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