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.

Getting started

Package details

AuthorHamed Haselimashhadi (www.hamedhaseli.webs.com)
MaintainerHamed Haselimashhadi <hamedhaseli@gmail.com>
LicenseGPL (>= 2)
URL http://hamedhaseli.webs.com.
Package repositoryView on CRAN
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DREGAR documentation built on May 2, 2019, 7:59 a.m.