Regression Coefficients Estimation Using the Generalized Cross Entropy
Overview
Estimation and inference using the Generalized Maximum Entropy (GME) and Generalized Cross Entropy (GCE) framework, a flexible method for solving ill-posed inverse problems and parameter estimation under uncertainty (Golan, Judge, and Miller (1996, ISBN:978-0471145925) "Maximum Entropy Econometrics: Robust Estimation with Limited Data"). The package includes routines for generalized cross entropy estimation of linear models including the implementation of a GME-GCE two steps approach. Diagnostic tools, and options to incorporate prior information through support and prior distributions are available (Macedo, Cabral, Afreixo, Macedo and Angelelli (2025) doi:10.1007/978-3-031-97589-9_21). In particular, support spaces can be defined by the user or be internally computed based on the ridge trace or on the distribution of standardized regression coefficients. Different optimization methods for the objective function can be used. An adaptation of the normalized entropy aggregation (Macedo and Costa (2019) doi:10.1007/978-3-030-26036-1_2 "Normalized entropy aggregation for inhomogeneous large-scale data") and a two-stage maximum entropy approach for time series regression (Macedo (2022) doi:10.1080/03610918.2022.2057540) are also available. Suitable for applications in econometrics, health, signal processing, and other fields requiring robust estimation under data constraints.
- Major update of the package;
- Added TASW-GCE and TARW-GCE estimators for adaptive support-space estimation.
- Corrected the implementation of the
1seselection rule. - Updated vignettes and examples with new data sets.
- TASW-GCE and TARW-GCE parameters improved.
- Objective function adapted for faster computation.
From NEWS.md in the release
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Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-09
- ERROR12 OK, 1 ERROR2026-06-08
- OK13 OK2026-06-07
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- ERROR11 OK, 2 ERROR2026-05-22
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- ERROR12 OK, 1 ERROR2026-05-19
- OK14 OK2026-03-10
Documentation
- Help pages
- 66
- Examples that run
- 67%34 run in a plain check · 17 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 76%
- Documented parameters
- 95%
- Return-value docs
- 100%
- Help pages citing references
- 12%
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Package metadata
- First published
- 2025-07-16
- Total releases
- 2 / 1 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Bundled data
- 418 KB / 8 files
- Download size
- 7.0 MB
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