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I was wondering if someone knows a R-package or function library for the topic of shrinkage for regression with ARMA errors.

Please let me know if you came across something related.

Richard Hardy
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Patricia
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  • The linked thread considers ARIMA and VARMA. I think extending this to regression with ARMA errors is not very difficult. Some of the methods provided in the answer in the linked thread allow and facilitate inclusion of exogenous regressors. – Richard Hardy Feb 02 '22 at 13:44

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