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 publication2016-06-30 12:14:05
MaintainerHamed Haselimashhadi <hamedhaseli@gmail.com>
LicenseGPL (>= 2)
Version0.1.0.0
http://hamedhaseli.webs.com.

View on CRAN

Files

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

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