cv.Breg: Select regularization parameters by cross-validation, AIC and...

In Jianeng/FinReg: Regularizing Bayesian Predictive Regressions

Description

This function uses VAR(1) model.

Usage

cv_Breg(x,alpha=1,type="cv",width=NULL,lambda,gamma,tol=10^-3,Time=30)

Arguments

x	See Breg.
type	"cv"(default), "aic","bic".
width	Length of the rolling window in computing 1-step ahead prediction errors when type = "cv".
lambda	See Breg.
gamma	See Breg.
alpha	See Breg.
tol	See Breg.
Time	See Breg.

Value

lambda	Selected lambda.
gamma	Selected gamma.
map	MSE/AIC/BIC grid calculated to choose the lambda and gamma from.

See Also

Breg

Jianeng/FinReg documentation built on May 14, 2019, 8:41 a.m.