coef.Breg: Extract VAR(1) and SUR coefficient and residual covariance...
In Jianeng/FinReg: Regularizing Bayesian Predictive Regressions
Description
Usage
Arguments
Value
See Also
Description
This function extracts the coefficient matrix β and residual covariance matrix Σ of VAR(1) and SUR model from an glmnet object.
Usage
1
Arguments
model
An glmnet model.
lambda
Regularization parameter used in the estimation of β.
X,Y
Breg input.
type
Model type: "var"(default), "sur".
Value
beta
Coefficient matrix/vector.
recov
Residual covariance matrix.
See Also
coef.glmnet, Breg
Jianeng/FinReg documentation built on May 14, 2019, 8:41 a.m.
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Description Usage Arguments Value See Also
Description
This function extracts the coefficient matrix β and residual covariance matrix Σ of VAR(1) and SUR model from an glmnet object.
Usage
1 |
Arguments
model |
An |
lambda |
Regularization parameter used in the estimation of β. |
X,Y |
|
type |
Model type: |
Value
beta |
Coefficient matrix/vector. |
recov |
Residual covariance matrix. |
See Also
coef.glmnet, Breg
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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