DREGAR
Regularized Estimation of Dynamic Linear Regression in the Presence of Autocorrelated Residuals (DREGAR)
A penalized/non-penalized implementation for dynamic regression in the presence of autocorrelated residuals (DREGAR) using iterative penalized/ordinary least squares. It applies Mallows CP, AIC, BIC and GCV to select the tuning parameters.
- Version0.1.3.0
- R version≥ 2.10.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release03/10/2017
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Team
Hamed Haselimashhadi
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- Imports1 package