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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 |
Reference manual: | stabreg.pdf |
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 |
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These binaries (installable software) and packages are in development.
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