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.

openblascppopenmp

2.00 score 191 downloads 15 exports 10 dependencies

Last updated 6 months agofrom:b1d285309f. Checks:2 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 28 2025
R-4.5-linux-x86_64OKJan 28 2025

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 Jan 28 2025.

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