crps()
computation for censored and truncated Student's
T distributions in the scoringRules
package, some example output in
?CensoredStudentsT
and ?TruncatedStudentsT
was in error. The problem has
been fixed in version 1.1.3 of scoringRules
and reference output in crch
was updated.Improved implementations of expectation and variance of censored and truncated normal distributions (contributed by Ioannis Kosmidis).
Turned vignette("crch", package = "crch")
from Sweave into Quarto
vignettes. Some improvements/updates in the text.
New package web page (via altdoc
/quarto
) at
https://topmodels.R-Forge.R-project.org/crch/
Achim Zeileis takes over maintenance from Jakob W. Messner. Added Ioannis Kosmidis and Georg J. Mayr as contributors.
crps()
method to be consistent with the generic.Added methods for is_discrete()
and is_continuous()
for the new distributions3
objects.
Replaced deprecated C function finite()
with isfinite()
(again).
Added support for distributions3
workflows for censored and truncated normal, logistic, and Student's t
distributions: CensoredNormal()
, TruncatedNormal()
, CensoredLogistic()
,
TruncatedLogistic()
, CensoredStudentsT()
, TruncatedStudentsT()
.
See the corresponding manual pages for examples illustrating how to
work with the distributions in practice, for computing moments, probabilities,
densities, simulating random values, etc.
Added prodist()
method for extracting the distributions3
objects above
from fitted crch
objects, either in-sample or out-of-sample.
Bug fix in the computation of the mean of censored or truncated logistic distributions with large (or infinite) censoring/truncation points.
finite()
with isfinite()
.Added argument type
to crch()
which can be set to "crps"
for parameter
estimation with minimum CRPS instead of maximum likelihood.
Added S3 method for crps()
from scoringRules
for crch
objects.
Improvements for the predict()
method:
"parameter"
, "density"
, "probability"
, and "crps"
.type = "response"
now the expected value and not the location
parameter is returned (not equal for censored and truncated
distributions). For better backward compatibility, the default type is
set to "location"
.Added pit()
, rootogram()
, and simulate()
methods for crch
objects.
Changed argument names mean
and sd
to location
and scale
in logistic and
Student's t distribution functions
Added new function crch.stabsel()
for stability selection based on
crch.boost.fit()
. Some S3 methods for the returned class stabsel.crch
are also provided.
New release accompanying the R Journal paper: Heteroscedastic Censored
and Truncated Regression with crch
by Messner, Mayr, and Zeileis. See also citation("crch")
.
Added estfun()
method for crch
objects
The crch()
function now supports coefficient optimization by
boosting to automatically select the most relevant input variables
in high-dimensional data settings. Extractor and plotting functions
for corresponding crch.boost
objects are also available.
Transferred functions to estimate density, distribution, score, and Hessian matrices to C code to accelerate coefficient optimization.
Added option to crch()
to avoid computation of covariance matrix.
Added left
and right
arguments to predict.crch()
and
predict.crch.boost()
to allow quantile predictions for non-constant
censoring or truncation points.
Added model.matrix()
and model.frame()
methods for crch
objects
Bug fix in predict.crch()
: In previous versions predictions for
models with other link functions than the log gave wrong results
Added vignette to introduce the crch()
function with some
theoretical background and an illustrating example:
vignette("crch", package = "crch")
The crch()
function now also supports truncated responses.
Furthermore added a wrapper function trch()
to fit truncated
regression models.
crch()
: Analytical gradients and Hessian matrices are provided for most
models to speed up maximum likelihood optimization
(not available for Student's t distribution with degrees of freedom
estimation).
crch()
: For the scale model a link function can now be specified
("log"
, "identity"
, or "quadratic"
). In previous version only the log
was supported.
Added functions for probability density, cumulative distribution, random numbers, and quantiles for censored and truncated normal, logistic, and Student's t distributions.
The residuals()
method for crch
objects now also provides quantile
residuals (Dunn and Smyth 1996).
Added update()
method for crch
objects.
citation("crch")
for the accompanying manuscripts. Note that the interface of both
crch()
and hxlr()
is still under development and might change in
future versions of the package.