| Name : R-VARshrink
| |
| Version : 0.3.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.13
| Date : 2024-06-14 11:42:16
|
| Group : Development/Libraries/Other
| Source RPM : R-VARshrink-0.3.1-lp153.2.13.src.rpm
|
| Size : 0.39 MB
| |
| Packager : (none)
| |
| Summary : Shrinkage Estimation Methods for Vector Autoregressive Models
|
Description :
Vector autoregressive (VAR) model is a fundamental and effective
approach for multivariate time series analysis. Shrinkage estimation
methods can be applied to high-dimensional VAR models with
dimensionality greater than the number of observations, contrary to the
standard ordinary least squares method. This package is an integrative
package delivering nonparametric, parametric, and semiparametric
methods in a unified and consistent manner, such as the multivariate
ridge regression in Golub, Heath, and Wahba (1979)
< doi:10.2307/1268518>, a James-Stein type nonparametric shrinkage
method in Opgen-Rhein and Strimmer (2007)
< doi:10.1186/1471-2105-8-S2-S3>, and Bayesian estimation methods using
noninformative and informative priors in Lee, Choi, and S.-H. Kim
(2016) < doi:10.1016/j.csda.2016.03.007> and Ni and Sun (2005)
< doi:10.1198/073500104000000622>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
