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).

Getting started

Package details

MaintainerWho to complain to <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
wiaidp/MDFA documentation built on Feb. 21, 2018, 12:35 p.m.