BigVAR.intermediate: BigVAR.intermediate This class contains the in-sample results...

In BigVAR: Dimension Reduction Methods for Multivariate Time Series

BigVAR.intermediate This class contains the in-sample results for cv.BigVAR

Description

It inherits the class BigVAR, and contains the results from rolling validation

Fields

ZFull

List containing full lag matrix and time series

InSampMSFE

In-sample MSFE from optimal value of lambda

LambdaGrid

Grid of candidate lambda values

index

Index order of optimal lambda value

OptimalLambda

Value of lambda that minimizes MSFE

Data

a T \times k or T\times k + m multivariate time Series

lagmax

Maximal lag order

Structure

Penalty structure

Relaxed

Indicator for relaxed VAR

Granularity

Granularity of penalty grid

horizon

Desired forecast horizon

crossval

Cross-Validation procedure

alpha

additional penalty parameter for Sparse Lag Group or Sparse Own/Other methods. Will contain either the heuristic choice of 1/(k+1) or the value selected by cross validation if the argument dual is set to TRUE

Minnesota

Minnesota Prior Indicator

verbose

verbose indicator

dual

indicator as to whether dual cross validation was conducted

contemp

indicator if contemporaneous exogenous predictors are used

Note

One can also access any object of class BigVAR from BigVAR.intermediate

Author(s)

Will Nicholson

BigVAR documentation built on Jan. 9, 2023, 5:08 p.m.