Variable Selection in Sparse Multivariate GLARMA Models
Gradient and Hessian of the log-likelihood with respect to eta
Gradient and Hessian of the log-likelihood with respect to gamma
tools:::Rd_package_title("MultiGlarmaVarSel")
Newton-Raphson method for estimation of gamma
Variable selection
Performs variable selection in high-dimensional sparse GLARMA models. For further details we refer the reader to the paper Gomtsyan et al. (2022), <arXiv:2208.14721>.