est_kcde_params_stepwise_crossval: Use a stepwise procedure to estimate parameters and select...

Description Usage Arguments Value

Description

Use a stepwise procedure to estimate parameters and select lags by optimizing a cross-validation estimate of predictive performance

Usage

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est_kcde_params_stepwise_crossval(data, kcde_control, init_theta_vector,
  init_phi_vector)

Arguments

data

the data frame to use in performing cross validation

kcde_control

a list of parameters specifying how the fitting is done

Value

a list with two components: vars_and_offsets is the estimated "optimal" lags to use for each variable, and theta_hat is the estimated "optimal" kernel parameters to use for each combination of variable and lag


reichlab/kcde documentation built on May 27, 2019, 4:53 a.m.