ChrissCod/LMfilteR: Filter Methods for Parameter Estimation in Linear Regression Models

We present a method based on filtering algorithms to estimate the parameters of linear regressions, i.e. the coefficients and the variance of the error term. The proposed algorithms make use of Particle Filters following Ristic, B., Arulampalam, S., Gordon, N. (2004, ISBN: 158053631X) resampling methods.

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LicenseGPL (>= 2)
Package repositoryView on GitHub
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ChrissCod/LMfilteR documentation built on Aug. 3, 2018, 12:22 p.m.