Package: dbacf 0.2.8
Inder Tecuapetla-Gómez
dbacf: Autocovariance Estimation via Difference-Based Methods
Provides methods for (auto)covariance/correlation function estimation in change point regression with stationary errors circumventing the pre-estimation of the underlying signal of the observations. Generic, first-order, (m+1)-gapped, difference-based autocovariance function estimator is based on M. Levine and I. Tecuapetla-Gómez (2023) <doi:10.48550/arXiv.1905.04578>. Bias-reducing, second-order, (m+1)-gapped, difference-based estimator is based on I. Tecuapetla-Gómez and A. Munk (2017) <doi:10.1111/sjos.12256>. Robust autocovariance estimator for change point regression with autoregressive errors is based on S. Chakar et al. (2017) <doi:10.3150/15-BEJ782>. It also includes a general projection-based method for covariance matrix estimation.
Authors:
dbacf_0.2.8.tar.gz
dbacf_0.2.8.tar.gz(r-4.5-noble)dbacf_0.2.8.tar.gz(r-4.4-noble)
dbacf_0.2.8.tgz(r-4.4-emscripten)dbacf_0.2.8.tgz(r-4.3-emscripten)
dbacf.pdf |dbacf.html✨
dbacf/json (API)
| # Install 'dbacf' in R: |
| install.packages('dbacf', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 years agofrom:a54f301114. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 22 2024 |
| R-4.5-linux | OK | Oct 22 2024 |
Exports:dbacfdbacf_AR1nearPDToeplitzprojectToeplitzsymBandedToeplitz
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Autocovariance function estimation via difference-based methods | dbacf-package |
| Difference-based (auto)covariance/correlation function estimation | dbacf |
| Robust dbacf in change point regression with AR(1) errors | dbacf_AR1 |
| Computes the nearest positive definite Toeplitz matrix | nearPDToeplitz |
| Plot autocovariance and autocorrelation functions | plot.dbacf |
| Projection onto the set of symmetric Toeplitz matrices | projectToeplitz |
| Creates a symmetric banded Toeplitz matrix | symBandedToeplitz |