Statistics, Department of

 

The R Journal

Date of this Version

12-2017

Document Type

Article

Citation

The R Journal (December 2017) 9(2); Editor: Roger Bivand

Comments

Copyright 2017, The R Foundation. Open access material. License: CC BY 4.0

Abstract

We implement in the R package carx a novel and computationally efficient quasi-likelihood method for estimating a censored autoregressive model with exogenous covariates. The proposed quasi-likelihood method reduces to maximum likelihood estimation in absence of censoring. The carx package contains many useful functions for practical data analysis with censored stochastic regression, including functions for outlier detection, model diagnostics, and prediction with censored time series data. We illustrate the capabilities of the carx package with simulations and an elaborate real data analysis.

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