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GlarmaVarSel (version 1.0)

Variable Selection in Sparse GLARMA Models

Description

Performs variable selection in high-dimensional sparse GLARMA models. For further details we refer the reader to the paper Gomtsyan et al. (2020), .

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Version

Install

install.packages('GlarmaVarSel')

Monthly Downloads

243

Version

1.0

License

GPL-2

Maintainer

Marina Gomtsyan

Last Published

September 16th, 2021

Functions in GlarmaVarSel (1.0)

variable_selection

Variable selection
grad_hess_beta

Gradient and Hessian of the log-likelihood with respect to beta
NR_gamma

Newton-Raphson method for estimation of gamma
Y

Observation matrix Y
grad_hess_gamma

Gradient and Hessian of the log-likelihood with respect to gamma
GlarmaVarSel-package

GlarmaVarSel