cv.sglpath: Sorts cross-validation output

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

Sorts cross-validation output

Description

Computes cvm and cvsd based on cross-validation fit.

Usage

cv.sglpath(outlist, lambda, x, y, foldid, ...)

Arguments

outlist	list of cross-validation fits.
lambda	a sequence of \lambda parameter.
x	regressors
y	response
foldid	the fold assignment.
...	other arguments passed to predict.sgl

Value

cvm and cvsd.

midasml documentation built on Nov. 5, 2025, 5:44 p.m.