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.
|Author||Jonas Striaukas [aut, cre]|
|Maintainer||Jonas Striaukas <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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