midasml: Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

The 'midasml' estimation and prediction methods for high dimensional time series regression models under mixed data sampling data structures using structured-sparsity penalties and orthogonal polynomials. For more information on the 'midasml' approach see Babii, Ghysels, and Striaukas (2020) <arXiv:2005.14057>. Functions that compute MIDAS data structures were inspired by MIDAS 'Matlab' toolbox (v2.3) written by Eric Ghysels.

Package details

AuthorJonas Striaukas [aut, cre]
MaintainerJonas Striaukas <jonas.striaukas@gmail.com>
LicenseGPL (>= 2)
Version0.0.5
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("midasml")

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midasml documentation built on July 8, 2020, 6:34 p.m.