The MDFA package generalizes classic time series approaches to forecasting and signal extraction. It allows the user to specify research priorities by decomposing the classic mean-square criterion into Accuracy, Smoothness and Timeliness terms: ATS-Trilemma. It gives access to novel regularization features for tackling overfitting. An extension to mixed-frequency data is provided as well as formal treatment of non-stationarity (unit-roots, cointegration).
|Maintainer||Who to complain to <[email protected]>|
|Package repository||View on GitHub|
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