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

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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.

Author
Hamed Haselimashhadi (www.hamedhaseli.webs.com)
Date of publication
2016-06-30 12:14:05
Maintainer
Hamed Haselimashhadi <hamedhaseli@gmail.com>
License
GPL (>= 2)
Version
0.1.0.0
URLs

View on CRAN

Man pages

dregar
Estimating DREGAR coefficients
generateAR
Generating stationary autoregressive coefficients
sim.dregar
Simulating data from DREGAR model

Files in this package

DREGAR
DREGAR/inst
DREGAR/inst/CITATION
DREGAR/inst/ChangeLog
DREGAR/NAMESPACE
DREGAR/R
DREGAR/R/side.R
DREGAR/R/regarma.R
DREGAR/R/sim.dregar.R
DREGAR/R/main.R
DREGAR/MD5
DREGAR/DESCRIPTION
DREGAR/man
DREGAR/man/dregar.Rd
DREGAR/man/sim.dregar.Rd
DREGAR/man/generateAR.Rd