GlarmaVarSel (version 1.0)

GlarmaVarSel-package: GlarmaVarSel

Description

GlarmaVarSel consists of four functions: "variable_selection.R", "grad_hess_beta.R", "grad_hess_gamma.R" and "NR_gamma.R" For further information on how to use these functions, we refer the reader to the vignette of the package.

Details

GlarmaVarSel consists of four functions: "variable_selection.R", "grad_hess_beta.R", "grad_hess_gamma.R" and "NR_gamma.R" For further information on how to use these functions, we refer the reader to the vignette of the package.

References

M. Gomtsyan et al. "Variable selection in sparse GLARMA models", arXiv:2007.08623v1

Examples

# NOT RUN {
n=50
p=30
X = matrix(NA,(p+1),n)
f = 1/0.7
for(t in 1:n){X[,t]<-c(1,cos(2*pi*(1:(p/2))*t*f/n),sin(2*pi*(1:(p/2))*t*f/n))}
gamma0 = c(0)
data(Y)
result = variable_selection(Y, X, gamma0, k_max=2, n_iter=100, method="min",
nb_rep_ss=1000, threshold=0.7, parallel=FALSE, nb.cores=1)
beta_est = result$beta_est
Estim_active = result$estim_active
gamma_est = result$gamma_est    
# }