NR_gamma {GlarmaVarSel}

Newton-Raphson method for estimation of gamma

Description

This function estimates gamma with Newton-Raphson method

Usage

NR_gamma(Y, X, beta0, gamma0, n_iter)

Arguments

Y

Observation matrix

X

Design matrix

beta0

Initial beta vector

gamma0

Initial gamma vector

n_iter

Number of iterations of the algorithm. Default=100

Value

gamma

Estimated gamma vector

Author(s)

Marina Gomtsyan, Celine Levy-Leduc, Sarah Ouadah, Laure Sansonnet

Maintainer: Marina Gomtsyan <[e-mail]>

References

M. Gomtsyan et al. "Variable selection in sparse GLARMA models", arXiv:2007.08623v1

Examples

n=50
p=30
X = matrix(NA,(p+1),n)
f = 1/0.7
for(t in 1:n){X[,t]<-c(1,cos(2*pi*(1:(p/2))*t*f/n),sin(2*pi*(1:(p/2))*t*f/n))}
gamma0 = c(0)
data(Y)
glm_pois<-glm(Y~t(X)[,2:(p+1)],family = poisson)
beta0<-as.numeric(glm_pois$coefficients)
gamma_est = NR_gamma(Y, X, beta0, gamma0, n_iter=100)