espls: Kernel M-Estimator for Location Scale model

In EdvinasD/resplsm: Robust estimator for semi-parametric dynamic locationscale models

Description

Estimates parameters for location scale model using Kernel M-Estimator using R optim function

Usage

espls(Yt, St, s, initial.values, bandwidth = 1.06 * sqrt(var(St)) *
  length(St)^(-1/5), int.of.par = c(0, 1), print = F)

Arguments

Yt	parmeter of a function which is not to be optimized, usually Y_t
St	regresor parameter can be X's or lag(Y_t)
s	points at which function should be estimated
initial.values	initial value of optimisible parameter might be a vector
bandwidth	bandwith should be used
int.of.par	initial parameters
print	print during fitting

Value

Estimated location scale function at s points

EdvinasD/resplsm documentation built on May 20, 2019, 2:05 p.m.