crch (0.9-0)

Censored Regression with Conditional Heteroscedasticity.

http://cran.r-project.org/web/packages/crch

Different approaches to censored or truncated regression with conditional heteroscedasticity are provided. First, continuous distributions can be used for the (right and/or left censored or truncated) response with separate linear predictors for the mean and variance. Second, cumulative link models for ordinal data (obtained by interval-censoring continuous data) can be employed for heteroscedastic extended logistic regression (HXLR). In the latter type of models, the intercepts depend on the thresholds that define the intervals.

Maintainer: Jakob Messner
Author(s): Jakob Messner [aut, cre], Achim Zeileis [aut]

License: GPL-2 | GPL-3

Uses: Formula, ordinal, lmtest, glmx
Reverse suggests: ensemblepp, insight, NetSimR, scoringRules
Reverse enhances: prediction

Released over 4 years ago.