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Dear all, I'm dealing with an uneven time series with regressors [0]. If the series was regular, my preferred approach would be some form of space state representation such as smoothing, time varying regression or an autoregressive process with...
Dear all, I am working with lme and I would like to have different within-group error correlation matrices per group (\Lambda_i in 5.1 from Pinheiro & Bates). Currently, my sentence looks like the following correlation = corCompSymm(form = ~ 1...
Hi all! We're studying Barndorff-Nielsen, Hansen, Lunde and Shephard (2009) [1] in depth. In particular, as a first step we aim at replicating the estimation based on Parzen's kernel. After attempting to use highfrequency's rKernelCov, which...
Dear Kevin, I must confess I found both sites on google before asking here, but I could not make much sense out of them. It clicked now that I realised lme models different variances per factor through variance functions and...
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