Description Details Author(s) References See Also Examples
Perform Dynamic Model Averaging with modifications introduced in Dangl and Halling (2012) using parallel computing.
Package: | eDMA |
Type: | Package |
Version: | 1.5-3 |
Date: | 2018-27-08 |
License: | GPL (>= 2) |
Leopoldo Catania & Nima Nonejad
Maintainer: Leopoldo Catania <leopoldo.catania@uniroma2.it>
Raftery, Adrian E., Miroslav Karny, and Pavel Ettler. "Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill." Technometrics 52.1 (2010): 52-66.
Catania, Leopoldo, and Nima Nonejad (2018). "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package." Journal of Statistical Software, 84(11), 1-39. doi: 10.18637/jss.v084.i11.
Dangl, Thomas, and Michael Halling. "Predictive regressions with time-varying coefficients." Journal of Financial Economics 106.1 (2012): 157-181.
Raftery, Adrian E., David Madigan, and Jennifer A. Hoeting. "Bayesian model averaging for linear regression models." Journal of the American Statistical Association 92.437 (1997): 179-191.
Harrison, Jeff, and Mike West. Bayesian Forecasting & Dynamic Models. Springer, 1999.
DMA
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