Jianeng/FinReg
Regularizing Bayesian Predictive Regressions

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Jianeng/FinReg: Regularizing Bayesian Predictive Regressions
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Regularizing Bayesian Predictive Regressions

BregRegularize Bayesian predictive regression
coef.BregExtract VAR(1) and SUR coefficient and residual covariance...
cv.BregSelect regularization parameters by cross-validation, AIC and...
cvComCompute MSE of predictions in a moving window
icComCompute AIC and BIC of VAR(1) model
path.BregRegularizaiton path of Bayesian predictive regression
Jianeng/FinReg documentation built on May 14, 2019, 8:41 a.m.

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