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Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression. Lujia Bai and Weichi Wu (2024)<doi:10.3150/23-BEJ1680> Zhou Zhou and Wei Biao Wu(2010)<doi:10.1111/j.1467-9868.2010.00743.x> Jianqing Fan and Wenyang Zhang<doi:10.1214/aos/1017939139> Lujia Bai and Weichi Wu(2024)<doi:10.1093/biomet/asae013> Dimitris N. Politis, Joseph P. Romano, Michael Wolf(1999)<doi:10.1007/978-1-4612-1554-7> Weichi Wu and Zhou Zhou(2018)<doi:10.1214/17-AOS1582>.
| Version: | 0.1.2 |
| Depends: | R (≥ 3.6.0) |
| Imports: | Rcpp, numDeriv, magrittr, foreach, doParallel, RcppArmadillo, mathjaxr, xtable, stats |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown, spelling, testthat (≥ 3.0.0) |
| Published: | 2024-07-30 |
| DOI: | 10.32614/CRAN.package.mlrv |
| Author: | Lujia Bai [aut, cre], Weichi Wu [ctb] |
| Maintainer: | Lujia Bai <bailujia98 at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | yes |
| Language: | en-US |
| Materials: | NEWS |
| CRAN checks: | mlrv results |
| Reference manual: | mlrv.pdf |
| Vignettes: |
Using mlrv to anaylze data (source, R code) |
| Package source: | mlrv_0.1.2.tar.gz |
| Windows binaries: | r-devel: mlrv_0.1.2.zip, r-release: mlrv_0.1.2.zip, r-oldrel: mlrv_0.1.2.zip |
| macOS binaries: | r-release (arm64): mlrv_0.1.2.tgz, r-oldrel (arm64): mlrv_0.1.2.tgz, r-release (x86_64): mlrv_0.1.2.tgz, r-oldrel (x86_64): mlrv_0.1.2.tgz |
| Old sources: | mlrv archive |
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These binaries (installable software) and packages are in development.
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