DREGAR (Q37039)
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Regularized Estimation of Dynamic Linear Regression in the Presence of Autocorrelated Residuals (DREGAR)
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | DREGAR |
Regularized Estimation of Dynamic Linear Regression in the Presence of Autocorrelated Residuals (DREGAR) |
Statements
expanded from: GPL (≥ 2) (English)
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17 May 2025
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A penalized/non-penalized implementation for dynamic regression in the presence of autocorrelated residuals (DREGAR) using iterative penalized/ordinary least squares. It applies Mallows CP, AIC, BIC and GCV to select the tuning parameters.
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