NBtsVarSel-package {NBtsVarSel}

Variable Selection in a Specific Regression Time Series of Counts

Description

NBtsVarSel consists of four functions: "variable_selection.R", "grad_hess_beta.R", "grad_hess_gamma.R" and "NR_gamma.R" For further information on how to use these functions, we refer the reader to the vignette of the package.

Details

This package consists of four functions: "variable_selection.R", "grad_hess_beta.R", "grad_hess_gamma.R" and "NR_gamma.R" For further information on how to use these functions, we refer the reader to the vignette of the package.

Author(s)

Marina Gomtsyan

Maintainer: Marina Gomtsyan <[e-mail]>

References

M. Gomtsyan "Variable selection in a specific regression time series of counts.", arXiv:2307.00929

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)
result = variable_selection(Y, X, gamma.init=gamma0, alpha.init=NULL, k.max=1, method="cv", 
tr=0.3, n.iter=100, n.rep=1000)
beta_est = result$beta_est
Estim_active = result$estim_active
gamma_est = result$gamma_est
alpha_est = result$alpha_est