BasePMM2-class

Base S4 class for storing PMM2 model results

Implements the Polynomial Maximization Method ('PMM') for parameter estimation
in linear and time series models when error distributions deviate from normality.
The 'PMM2' variant achieves lower variance parameter estimates compared to ordinary
least squares ('OLS') when errors exhibit significant skewness. Includes methods
for linear regression, 'AR'/'MA'/'ARMA'/'ARIMA' models, and bootstrap inference.
Methodology described in Zabolotnii, Warsza, and Tkachenko (2018) <doi:10.1007/978-3-319-77179-3_75>,
Zabolotnii, Tkachenko, and Warsza (2022) <doi:10.1007/978-3-031-03502-9_37>, and
Zabolotnii, Tkachenko, and Warsza (2023) <doi:10.1007/978-3-031-25844-2_21>.

Serhii Zabolotnii

EstemPMM

Polynomial Maximization Method for Non-Gaussian Regression

BasePMM2-class function

<dl>
<dt><code>coefficients</code></dt>
<dd>numeric vector of estimated parameters</dd></dl>
<dt><code>residuals</code></dt>
<dd>numeric vector of final residuals</dd>
<dt><code>m2</code></dt>
<dd>numeric second central moment of initial residuals</dd>
<dt><code>m3</code></dt>
<dd>numeric third central moment of initial residuals</dd>
<dt><code>m4</code></dt>
<dd>numeric fourth central moment of initial residuals</dd>
<dt><code>convergence</code></dt>
<dd>logical or integer code indicating whether algorithm converged</dd>
<dt><code>iterations</code></dt>
<dd>numeric number of iterations performed</dd>
<dt><code>call</code></dt>
<dd>original function call</dd>

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Base S4 class for storing PMM2 model results — BasePMM2-class

<dl>
<dt><code>coefficients</code></dt>
<dd>numeric vector of estimated parameters</dd>


<dt><code>residuals</code></dt>
<dd>numeric vector of final residuals</dd>


<dt><code>m2</code></dt>
<dd>numeric second central moment of initial residuals</dd>


<dt><code>m3</code></dt>
<dd>numeric third central moment of initial residuals</dd>


<dt><code>m4</code></dt>
<dd>numeric fourth central moment of initial residuals</dd>


<dt><code>convergence</code></dt>
<dd>logical or integer code indicating whether algorithm converged</dd>


<dt><code>iterations</code></dt>
<dd>numeric number of iterations performed</dd>


<dt><code>call</code></dt>
<dd>original function call</dd>


</dl>

BasePMM2-class: Base S4 class for storing PMM2 model results

Description

Arguments

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