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.

Package details

AuthorChristophe Gaillac [aut, cre], Eric Gautier [aut]
MaintainerChristophe Gaillac <christophe.gaillac@ensae.fr>
Package repositoryView on CRAN
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RandomCoefficients documentation built on June 7, 2019, 5:02 p.m.