recency tilted lin_reg using kalman

[microprediction]

Hi @MaxHalford been a while!

I was thinking of banging out a recency-tilted version of linear regression (using KF formulation) but stop me if that's already in there somewhere.

-Peter

https://github.com/online-ml/river/blob/main/river/linear_model/lin_reg.py

[MaxHalford]

Hey Peter! Yes it's been a while, I hope you're well.

We don't have that one per say, so go for it. What we do have is a way to make LR adaptive by toying with the optimizer. I would love to see what you come up with.