SE.IF.cor: Compute the standard error using GLM-EN approach for serially...

In chenx26/EstimatorStandardError: Risk/Performance Measure Estimator Standard Error

Description

Compute the standard error using GLM-EN approach for serially correlated data using glmExpENRcpp

Usage

SE.IF.cor(x, myfun.IF, ..., return.coeffs = FALSE, d.GLM.EN = 5,
  alpha.EN = 0.5, keep = 1, standardize = FALSE)

Arguments

x	the vector of data
myfun.IF	the influene function of the measure
...	other parameters
keep	portion of frequencies to be used
standardize	whether to standardize data when computing standard error
d	maximum order of the polynomial
alpha.lasso	weight for the elastic net

Value

the standard error of the measure

Author(s)

Xin Chen, [e-mail]

chenx26/EstimatorStandardError documentation built on May 13, 2019, 3:53 p.m.