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.

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AuthorJiwoong Kim <kimjiwo2@stt.msu.edu>
Date of publication2017-02-01 16:12:04
MaintainerJiwoong Kim <kimjiwo2@stt.msu.edu>
LicenseGPL-2
Version3.0.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("KoulMde")

Man pages

Koul2StageMde: Two-stage minimum distance estimation in linear regression...
KoulArMde: Minimum distance estimation in the autoregression model of...
KoulLrMde: Minimum distance estimation in linear regression model.

Functions

CLoss Source code
DY Source code
EstimateBetaMDESimple Source code
EstimateDegenBetaMDE Source code
FindIndex Source code
FindPlace Source code
GLI Source code
GUI Source code
GVec Source code
GetDegenbVec Source code
GetbVec Source code
HVec Source code
Koul2StageMde Man page Source code
KoulArMde Man page Source code
KoulLrMde Man page Source code
PMM Source code
PV Source code
TARLoss Source code
TLRLossDegen Source code
Xpm Source code
sqrtmat Source code

Files

src
src/GetXpm.cpp
src/RevisedPMM.cpp
src/GetPV.cpp
src/GetLowerInterval.cpp
src/GetUpperInterval.cpp
src/GetHvec.cpp
src/CLosscpp.cpp
src/GetGvec.cpp
src/GetDY.cpp
src/RcppExports.cpp
NAMESPACE
R
R/RevisedMdeFunc.R
R/RcppExports.R
MD5
DESCRIPTION
man
man/KoulLrMde.Rd
man/Koul2StageMde.Rd
man/KoulArMde.Rd
KoulMde documentation built on May 19, 2017, 8:20 p.m.