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Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
Kernel Regression Smoothing with Local or Global Plug-in Bandwidth
Kernel regression smoothing with adaptive local or global plug-in bandwidth selection.
'eXtra' / 'eXperimental' Functionality for Robust Statistics
Robustness -- 'eXperimental', 'eXtraneous', or 'eXtraordinary'
Functionality for Robust Statistics. Hence methods which are not well established,
often related to methods in package 'robustbase'. Amazingly, 'BACON()', originally by
Billor, Hadi, and Velleman (2000)
Quantile Regression
Estimation and inference methods for models for conditional quantile functions:
Linear and nonlinear parametric and non-parametric (total variation penalized) models
for conditional quantiles of a univariate response and several methods for handling
censored survival data. Portfolio selection methods based on expected shortfall
risk are also now included. See Koenker, R. (2005) Quantile Regression, Cambridge U. Press,
Generalized Nonlinear Models
Functions to specify and fit generalized nonlinear models, including models with multiplicative interaction terms such as the UNIDIFF model from sociology and the AMMI model from crop science, and many others. Over-parameterized representations of models are used throughout; functions are provided for inference on estimable parameter combinations, as well as standard methods for diagnostics etc.
Differential Evolution Optimization in Pure R
Differential Evolution (DE) stochastic heuristic algorithms for
global optimization of problems with and without general constraints.
The aim is to curate a collection of its variants that
(1) do not sacrifice simplicity of design,
(2) are essentially tuning-free, and
(3) can be efficiently implemented directly in the R language.
Currently, it provides implementations of the algorithms 'jDE' by
Brest et al. (2006)
DPQ (Density, Probability, Quantile) Distribution Computations using MPFR
An extension to the 'DPQ' package with computations for 'DPQ' (Density (pdf), Probability (cdf) and Quantile) functions, where the functions here partly use the 'Rmpfr' package and hence the underlying 'MPFR' and 'GMP' C libraries.
Density, Probability, Quantile ('DPQ') Computations
Computations for approximations and alternatives for the 'DPQ'
(Density (pdf), Probability (cdf) and Quantile) functions for probability
distributions in R.
Primary focus is on (central and non-central) beta, gamma and related
distributions such as the chi-squared, F, and t.
--
For several distribution functions, provide functions implementing formulas from
Johnson, Kotz, and Kemp (1992)
Local Polynomial (Ridge) Regression
Local Polynomial Regression with Ridging.
Embedded Conic Solver in R
R interface to the Embedded COnic Solver (ECOS), an efficient and robust C library for convex problems. Conic and equality constraints can be specified in addition to integer and boolean variable constraints for mixed-integer problems. This R interface is inspired by the python interface and has similar calling conventions.