KoulMde: Koul's Minimum Distance Estimation in Linear Regression and Autoregression Model by Coordinate Descent Algorithm
Version 3.0.0

Consider linear regression model and autoregressive model of order q where errors in the linear regression model and innovations in the autoregression model are independent and symmetrically distributed. Hira L. Koul (1986) proposed a nonparametric minimum distance estimation method by minimizing L2-type distance between certain weighted residual empirical processes. He also proposed a simpler version of the loss function by using symmetry of the integrating measure in the distance. This package contains three functions: KoulLrMde(), KoulArMde(), and Koul2StageMde(). The former two provide minimum distance estimators for linear regression model and autoregression model, respectively, where both are based on Koul's method. These two functions take much less time for the computation than those based on parametric minimum distance estimation methods. Koul2StageMde() provides estimators for regression and autoregressive coefficients of linear regression model with autoregressive errors through minimum distant method of two stages. The new version is written in Rcpp and dramatically reduces computational time.

Getting started

Package details

AuthorJiwoong Kim <[email protected]>
Date of publication2017-02-01 16:12:04
MaintainerJiwoong Kim <[email protected]>
LicenseGPL-2
Version3.0.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("KoulMde")

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KoulMde documentation built on May 29, 2017, 9:33 p.m.