Heteroscedastic Censored and Truncated Regression with crch
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| Authors | Jakob W. Messner, Georg J. Mayr, Achim Zeileis |
| Journal/Conference Name | The R Journal |
| Paper Category | Other |
| Paper Abstract | The crch package provides functions for maximum likelihood estimation of censored or truncated regression models with conditional heteroscedasticity along with suitable standard methods to summarize the fitted models and compute predictions, residuals, etc. The supported distributions include leftor right-censored or truncated Gaussian, logistic, or student-t distributions with potentially different sets of regressors for modeling the conditional location and scale. The models and their R implementation are introduced and illustrated by numerical weather prediction tasks using precipitation data for Innsbruck (Austria). |
| Date of publication | 2016 |
| Code Programming Language | R |
| Comment |
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