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WH 2.0.0

This version introduces a complete overhaul of the package, with substantial improvements to both the core computational engine and the user-facing interface.

Computational changes

The main change in this version is the exploitation of the banded structure of the penalization matrix, which allows for tremendous savings in both computation time and memory footprint.

  • The package now uses Rcpp and calls directly Lapack functions for banded matrices when available.

  • Some additional functions have also been coded using Rcpp. The backsolve function for banded matrix was also recoded although it already exists in Lapack because the Lapack version overwrites the Cholesky factor so a copy has to be made beforehand.

  • Parameter estimation now rely on backward-forward solves from the Cholesky factor instead of forming the variance-covariance matrix explicitly.

  • By default, only the diagonal of the variance-covariance matrix is now computed (which is sufficient for credibility intervals). The full matrix can still be retrieved using the newly introduced vcov() method if necessary.

User Interface changes

  • The two main functions from earlier versions have been merged into a single unified function: WH().

  • Performance iteration and rank reduction are no longer available, as they no longer provide meaningful benefits with the new implementation. Indeed, the full-rank version is now efficient enough to handle several thousand observation points without optimization tricks.

Other changes

  • Some minor changes have been made to the example datasets to better align the characteristics of the mortality and long-term care datasets

WH 1.1.2

  • Greatly increased tolerance from 1e-6 to 1e-2 to remove a lone failing test which only occurs when using MKL BLAS

WH 1.1.1

  • Increased tolerance to remove a lone failing test which only occurs when using MKL BLAS

WH 1.1.0

  • Made significant changes to the extrapolation methods provided by be predict.WH_1d and predict.WH_2d functions. It turns out that the formula used for the extrapolation ignored the innovation error caused by the prior on the extrapolated region, resulting in smaller credibility intervals than they should have been. This now has been fixed.

WH 1.0.7

  • Removed tests of the form expect_equal(f(x), f(x)) after confirmation they do not work with MKL BLAS

WH 1.0.6

  • Further improved test robustness

  • Added tests of the form expect_equal(f(x), f(x)) for testing purposes

WH 1.0.5

  • Further improved tests robustness

WH 1.0.4

  • Simplified computation of the matrix tUWU by using the crossprod function, which should reduce memory usage (by half) and computation time (slightly)

  • Fixed an issue with the WH_2d plot and the what = "edf" argument

  • Improved tests robustness

WH 1.0.3

  • Replaced backquotes by normal quotes in the description field of the DESCRIPTION file

WH 1.0.2

  • Updated the package description to link it to the paper whose methods are used in the package

WH 1.0.1

  • Fixed an issue in the author field of the DESCRIPTION file

WH 1.0.0

  • Official candidate for CRAN release

WH 0.1.0

  • Added a NEWS.md file to track changes to the package