Package: mlrv 0.1.2

Lujia Bai

mlrv: Long-Run Variance Estimation in Time Series Regression

Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression. Lujia Bai and Weichi Wu (2024)<doi:10.3150/23-BEJ1680> Zhou Zhou and Wei Biao Wu(2010)<doi:10.1111/j.1467-9868.2010.00743.x> Jianqing Fan and Wenyang Zhang<doi:10.1214/aos/1017939139> Lujia Bai and Weichi Wu(2024)<doi:10.1093/biomet/asae013> Dimitris N. Politis, Joseph P. Romano, Michael Wolf(1999)<doi:10.1007/978-1-4612-1554-7> Weichi Wu and Zhou Zhou(2018)<doi:10.1214/17-AOS1582>.

Authors:Lujia Bai [aut, cre], Weichi Wu [ctb]

mlrv_0.1.2.tar.gz
mlrv_0.1.2.tar.gz(r-4.5-noble)mlrv_0.1.2.tar.gz(r-4.4-noble)
mlrv_0.1.2.tgz(r-4.4-emscripten)mlrv_0.1.2.tgz(r-4.3-emscripten)
mlrv.pdf |mlrv.html✨
mlrv/json (API)
NEWS

# Install 'mlrv' in R:
install.packages('mlrv', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • hk_data - This is data to be included in my package

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.48 score 4 scripts 155 downloads 15 exports 10 dependencies

Last updated 4 months agofrom:b1d285309f. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 30 2024
R-4.5-linux-x86_64OKOct 30 2024

Exports:bregress2gcv_covheter_covariateheter_gradientHeter_LRVloc_constantLocLinearlrv_measureMV_criticalMV_critical_cpMV_ise_heter_criticalQct_regQt_datarule_of_thumbsim_T

Dependencies:codetoolsdoParallelforeachiteratorsmagrittrmathjaxrnumDerivRcppRcppArmadilloxtable

Using mlrv to anaylze data

Rendered fromdata.Rmdusingknitr::rmarkdownon Oct 30 2024.

Last update: 2024-07-31
Started: 2023-11-08