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RandomCoefficients: Adaptive Estimation in the Linear Random Coefficients Models
We implement adaptive estimation of the joint density linear model where the coefficients - intercept and slopes - are random and independent from regressors which support is a proper subset. The estimator proposed in Gaillac and Gautier (2019) <arXiv:1905.06584> is based on Prolate Spheroidal Wave Functions which are computed efficiently in 'RandomCoefficients'. This package also provides a parallel implementation of the estimator.
Getting started
Browse package contents
Package details |
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| Author | Christophe Gaillac [aut, cre], Eric Gautier [aut] |
| Maintainer | Christophe Gaillac <christophe.gaillac@ensae.fr> |
| License | GPL-3 |
| Version | 0.0.2 |
| Package repository | View on CRAN |
| Installation |
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