getrhohat: Function to estimate AR(1) parameter

Description Usage Arguments Details Value Author(s) References See Also

View source: R/getrhohat.r

Description

Estimates AR(1) parameter for a linear model with cluster correlated errors, where the within block error structure is assumed to follow an AR(1).

Usage

1
getrhohat(x, y, block, visit, eps = 0.01)

Arguments

x

N x p design matrix

y

N x 1 response vector

block

N x 1 vector denoting block/cluster membership

visit

N x 1 vector denoting visit within a block/cluster

eps

estimate is set to 1-eps if estimated rhohat >= 1

Details

Uses method described in described in Terpstra, et. al. (2000, 2001). c.f. Section 5.6 of Hettmansperger and McKean (2011).

Value

Estimated value of rho, a scalar.

Author(s)

John Kloke <kloke@biostat.wisc.edu>

References

Hettmansperger, T. P. and McKean, J. W. (2011), Robust Nonparametric Statistical Methods, 2nd Edition, Boca Raton, FL: CRC Press.

Terpstra, J, McKean, JW, and Naranjo, JD (2000), Highly efficient weighted Wilcoxon estimates for autoregression, Statistics, 35, 45-80.

Terpstra, J, McKean, JW, and Naranjo, JD (2001), Weighted Wilcoxon estimates for autoregression, Australian \& New Zealand Journal of Statistics, 43, 399-419.

See Also

gjrfit.ar1


kloke/gjrfit documentation built on May 20, 2019, 12:34 p.m.