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MultiGlarmaVarSel (version 1.0)
Variable Selection in Sparse Multivariate 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. (2022),
.
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Version
Version
1.0
Install
install.packages('MultiGlarmaVarSel')
Monthly Downloads
199
Version
1.0
License
GPL-2
Maintainer
Marina Gomtsyan
Last Published
September 2nd, 2022
Functions in MultiGlarmaVarSel (1.0)
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grad_hess_L_eta
Gradient and Hessian of the log-likelihood with respect to eta
MultiGlarmaVarSel-package
tools:::Rd_package_title("MultiGlarmaVarSel")
Y
Observation matrix Y
variable_selection
Variable selection
grad_hess_L_gamma
Gradient and Hessian of the log-likelihood with respect to gamma
NR_gamma
Newton-Raphson method for estimation of gamma