Time Series Regression Using the Power Weighted Densities (PWD) Approach

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Description

Contains functions which allow the user to perform time series regression quickly using the Power Weighted Densities (PWD) approach. alphahat_LR_one_Rcpp() is the main workhorse function within this package.

Details

Package: PWD
Type: Package
Version: 1.0
Date: 2016-02-27
License: GPL-3

Author(s)

Daniel McCarthy

Maintainer: Daniel McCarthy <danielm@wharton.upenn.edu>

References

McCarthy, Daniel; Jensen, Shane. "Power Weighted Densities for Time Series Data." December 2015. Available at arXiv: http://arxiv.org/abs/1412.4059