predict.sglpath: Computes prediction

In jstriaukas/midasml: Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'sglpath'
predict(
  object,
  newx,
  s = NULL,
  type = c("response"),
  method = c("single", "pooled", "fe"),
  ...
)

Arguments

object	fitted sglfit model object.
newx	matrix of new values for x at which predictions are to be made. NOTE: newx must be a matrix, predict function does not accept a vector or other formats of newx.
s	value(s) of the penalty parameter lambda at which predictions are to be made. Default is the entire sequence used to create the model.
type	type of prediction required. Only response is available. Gives predicted response for regression problems.
method	choose between 'single', 'pooled', and 'fe'.
...	Not used. Other arguments to predict.

Details

s is the new vector at which predictions are to be made. If s is not in the lambda sequence used for fitting the model, the predict function will use linear interpolation to make predictions. The new values are interpolated using a fraction of predicted values from both left and right lambda indices.

Value

The object returned depends on type.

jstriaukas/midasml documentation built on Oct. 5, 2022, 12:18 a.m.