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stabreg: Linear Regression with the Stable Distribution

Efficient regression for heavy-tailed and skewed data following a stable distribution. Generalized regression where the skewness and tail parameter of residuals are dependent on regressors is also available. Includes fast calculation of stable densities. Calculation of densities is based on efficient numerical methods from Ament and O'Neil (2017) <doi:10.1007/s11222-017-9725-y>. Parts of the code have been ported to C from Ament's 'Matlab' code available at <https://gitlab.com/s_ament/qastable>.

Version: 0.1.2
Imports: numDeriv
Published: 2019-06-06
Author: Oleg Kopylov [aut, cre], Sebastian Ament [ctb]
Maintainer: Oleg Kopylov <okopy at protonmail.com>
License: GPL-3
NeedsCompilation: yes
CRAN checks: stabreg results

Documentation:

Reference manual: stabreg.pdf

Downloads:

Package source: stabreg_0.1.2.tar.gz
Windows binaries: r-devel: stabreg_0.1.2.zip, r-release: stabreg_0.1.2.zip, r-oldrel: stabreg_0.1.2.zip
macOS binaries: r-release (arm64): stabreg_0.1.2.tgz, r-oldrel (arm64): stabreg_0.1.2.tgz, r-release (x86_64): stabreg_0.1.2.tgz, r-oldrel (x86_64): stabreg_0.1.2.tgz

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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