I am working on a project where I use multilinear regression on many large data sets. Each data point is formatted as (time, data). Lets say I calculate a regression polynomial based on the past month of data, then a week passes and I want to come up with an updated regression polynomial. Can I use the past week's data and the old regression polynomial to come up with an updated polynomial? Would this be algorithmically faster than doing multilinear regression on the full month+week's worth of data?
Considering the amount of data I'm processing, any processor time I can save is essential.
For more background I am planning on just using typical least square regression. Not sure if this makes a difference.