Distributed Sampling for Dynamic Regression Models

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Documentation for package ‘DSDRM’ version 0.1.3

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adaptive_block_len Compute Adaptive Block Length
block_data_split Split Time Series Data into Distributed Blocks
calc_metrics Simulation Evaluation Metrics: MSE, MAE, R2, and Model Selection Accuracy
dist_parallel_estimate Fully Distributed Parallel Estimation
dist_qn_algorithm Distributed Quasi-Newton Iteration Main Algorithm
dist_qn_with_time DSDRM Algorithm with Computation Time Tracking
dsdrm_fit DSDRM Model Fitting (Main Interface)
dsdrm_generate_data Generate Time-Varying Distributed Dynamic Regression Data
dsdrm_metrics DSDRM Comprehensive Performance Metrics
dsdrm_predict Out-of-Sample Prediction for DSDRM
dsdrm_sampling DSDRM with Posterior Sampling (MCMC-based)
dynamic_coef_plot Dynamic Coefficient Path Plot
dynamic_opt_omega Compute Dynamic Optimal Sampling Weights
gamma_converge Convergence Check for Model Structure
gamma_fusion Fusion of Block-wise Model Selection Results (Weighted Voting)
global_info_mat Global Weighted Fisher Information Matrix
global_mcmc_estimator Global MCMC Estimator (Benchmark Method)
global_mcmc_with_time Global MCMC Estimator with Computation Time Tracking
global_posterior_gamma Global Posterior Probability for Model Indicator
global_quasi_ll Global Weighted Quasi Log-Likelihood
global_score Global Score Vector
init_gamma Initialize Binary Model Indicator Vector Creates a binary (0/1) indicator vector for model selection. Sets 1 for active (true) covariates and 0 for irrelevant covariates.
local_marginal_likelihood Local Marginal Likelihood for One Block
local_quasi_ll Local Quasi Log-Likelihood for One Block
mh_gamma_update Dynamic Metropolis-Hastings Update for Model Structure
parallel_estimate Parallel Block-wise Estimation Helper
penalized_quasi_ll L2 Penalized Quasi Log-Likelihood
run_batch_simulation Batch Simulation Main Function (Multivariate Grid Search)
run_batch_simulation_with_time Batch Simulation with Runtime and Parallel Acceleration
sparse_matrix_optim Sparse Matrix Optimization for DSDRM
static_distributed_estimator Static Distributed Estimator (Benchmark Method)
static_dist_with_time Static Distributed Estimator with Computation Time Tracking