lb: Legendre polynomials shifted to [a,b]

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

Legendre polynomials shifted to [a,b]

Description

For a given set of points in X, computes the orthonormal Legendre polynomials basis of L2 [a,b] for a given degree.

Usage

lb(degree, a = 0, b = 1, jmax = NULL, X = NULL)

Arguments

degree	polynomial degree.
a	lower shift value (default - 0).
b	upper shift value (default - 1).
jmax	number of high-frequency lags.
X	optional evaluation grid vector.

Value

Psi weight matrix with Legendre functions upto degree.

Author(s)

Jonas Striaukas

Examples

degree <- 3
jmax <- 66
lb(degree = degree, a = 0, b = 1, jmax = jmax)

midasml documentation built on April 29, 2022, 9:06 a.m.