DREGAR: Regularized Estimation of Dynamic Linear Regression in the Presence of Autocorrelated Residuals (DREGAR)

A penalized/non-penalized implementation for dynamic regression in the presence of autocorrelated residuals (DREGAR) using iterative penalized/ordinary least squares. It applies Mallows CP, AIC, BIC and GCV to select the tuning parameters.

AuthorHamed Haselimashhadi (www.hamedhaseli.webs.com)
Date of publication2017-03-10 11:49:44
MaintainerHamed Haselimashhadi <hamedhaseli@gmail.com>
LicenseGPL (>= 2)
Version0.1.3.0
http://hamedhaseli.webs.com.

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