wiaidp/MDFA: Signalextraction and Forecasting Based on the Multivariate Direct Filter Approach (MDFA)

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).

install.packages("remotes")
remotes::install_github("wiaidp/MDFA")