Polynomial Maximization Method for Non-Gaussian Regression
Calculate AIC for PMM2fit object
Fit an AR model using PMM2 (wrapper)
Fit an ARIMA model using PMM2 (wrapper)
S4 class for storing PMM2 ARIMA model results
Fit an ARMA model using PMM2 (wrapper)
S4 class for storing PMM2 ARMA model results
S4 class for storing PMM2 AR model results
Base S4 class for storing PMM2 model results
Extract coefficients from PMM2fit object
Extract coefficients from TS2fit object
Compare AR methods
Compare ARIMA methods
Compare ARMA methods
Compare MA methods
Compare PMM2 with classical time series estimation methods
Compare PMM2 with OLS
Calculate moments and cumulants of error distribution
Compute final residuals for time series models
Create design matrix for AR model
Create design matrix for time series
PMM2 fitting algorithm - unified implementation
PMM2 fitting algorithm for time series models
EstemPMM: Polynomial Maximization Method for Robust Regression and Tim...
Helper function for extracting fitted values
Extract fitted values from PMM2fit object
Extract fitted values from TS2fit object
Get fitted values for AR model
Get initial parameter estimates for time series models
Get Yule-Walker estimates for AR(p)
PMM2: Main function for PMM2 (S=2)
Fit an MA model using PMM2 (wrapper)
S4 class for storing PMM2 MA model results
Plot bootstrap distributions for PMM2 fit
Plot diagnostic plots for PMM2fit object
Build diagnostic plots for TS2fit objects
Calculate kurtosis from data
Calculate skewness from data
Universal PMM2 algorithm for all model types
Bootstrap inference for PMM2 fit
Monte Carlo comparison of PMM2 estimation methods
Calculate theoretical skewness, kurtosis coefficients and variance red...
Calculate theoretical variance matrices for OLS and PMM2
S4 class for storing PMM2 regression model results
Prediction method for PMM2fit objects
Prediction method for TS2fit objects
Extract residuals from PMM2fit object
Extract residuals from TS2fit object
Universal solver for PMM2 system of equations
Generic summary method for PMM2fit objects
Generic summary method for TS2fit objects
Bootstrap inference for PMM2 time series models
Fit a time series model using the PMM2 method
Base S4 class for storing PMM2 time series model results
Update MA model innovations
Validate and prepare time series parameters
Implements the Polynomial Maximization Method ('PMM') for parameter estimation in linear and time series models when error distributions deviate from normality. The 'PMM2' variant achieves lower variance parameter estimates compared to ordinary least squares ('OLS') when errors exhibit significant skewness. Includes methods for linear regression, 'AR'/'MA'/'ARMA'/'ARIMA' models, and bootstrap inference. Methodology described in Zabolotnii, Warsza, and Tkachenko (2018) <doi:10.1007/978-3-319-77179-3_75>, Zabolotnii, Tkachenko, and Warsza (2022) <doi:10.1007/978-3-031-03502-9_37>, and Zabolotnii, Tkachenko, and Warsza (2023) <doi:10.1007/978-3-031-25844-2_21>.