cvCom: Compute MSE of predictions in a moving window
In Jianeng/FinReg: Regularizing Bayesian Predictive Regressions

Description Usage Arguments See Also

View source: R/cv.Breg.R

This function is used in cv.Breg when type = "cv". Estimation an VAR(1) model in a moving window and make a 1-step ahead prediction. The MSE of prediciton is computed.

1	cvCom(x,lambda,gamma,alpha,T,width,Time)

`x`	VAR(1) observations in a selected period.
`width`	Bandwidth of the moving window.
`lambda`	See `Breg`.
`gamma`	See `Breg`.
`alpha`	See `Breg`.
`T`	Number of observations.
`Time`	See `Breg`.