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:
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')) |
- 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.
Last updated 5 months agofrom:b1d285309f. Checks:OK: 2. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 29 2024 |
R-4.5-linux-x86_64 | OK | Nov 29 2024 |
Exports:bregress2gcv_covheter_covariateheter_gradientHeter_LRVloc_constantLocLinearlrv_measureMV_criticalMV_critical_cpMV_ise_heter_criticalQct_regQt_datarule_of_thumbsim_T
Dependencies:codetoolsdoParallelforeachiteratorsmagrittrmathjaxrnumDerivRcppRcppArmadilloxtable