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RandomCoefficients (version 0.0.2)

Adaptive Estimation in the Linear Random Coefficients Models

Description

We implement adaptive estimation of the joint density linear model where the coefficients - intercept and slopes - are random and independent from regressors which support is a proper subset. The estimator proposed in Gaillac and Gautier (2019) is based on Prolate Spheroidal Wave Functions which are computed efficiently in 'RandomCoefficients'. This package also provides a parallel implementation of the estimator.

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Version

Install

install.packages('RandomCoefficients')

Monthly Downloads

11

Version

0.0.2

License

GPL-3

Maintainer

Christophe Gaillac

Last Published

June 7th, 2019

Functions in RandomCoefficients (0.0.2)

Adaptive estimation of the joint density of random coefficients model in a linear random coefficient model

Auxiliary function that computes the singular values of the SVD of the operator F_c in Gaillac and Gautier 2018 using the Fast Fourier transform for the integration.

Auxiliary function that extends the matrix X

Auxiliary function that put together even and odd functions of the SVD in an only one output list.

Ausiliary function that evaluates the SVD of F_c on a pre-specified grid divided by the singular values to the square.

Auxiliary function that compute the Legendre quadrature of order K

Auxiliary function to form matrices equal to x everywhere except from the upper/lower k diagonal, which values are vec

Computation of the coefficients of the PSWF on the Legendre polynomials basis of L^2(-1,1)

Auxiliary function that computes the singular values of the SVD of the operator F_c in Gaillac and Gautier 2018.

Auxiliary function for parallel implementation of rc_estim

Auxiliary function for the computation of the eigenvalues of the SVD of F_c

Auxiliary funciton for the evaluation of the SVD of F_c on a pre-specified grid divided by the singular values to the square.