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

centraldev_original_func | This function transforms grand-mean parametrization back to... |

des_mat_func | This function sets-up the data-based part of the design... |

dfa_analytic | This function computes MSE (mean-square) DFA-solutions as... |

dfa_ms | This function computes MSE (mean-square) DFA-solutions: no... |

mat_func | This function sets-up the design matrix of the generic... |

mdfa_analytic | Main estimation routine: Sets-up the generic optimization... |

MDFA_cust | Simplified call for multivariate customization: no... |

MDFA_cust_constraint | Simplified call for multivariate customization with filter... |

MDFA_MSE | Simplified call for multivariate MSE estimation: no... |

MDFA_mse_constraint | Simplified call for multivariate MSE estimation with filter... |

MDFA_reg | Simplified call for multivariate MSE and customization with... |

MDFA_reg_constraint | Simplified call for multivariate MSE/customization with... |

MS_decomp_total | This function decomposes the MSE-criterion into Accuracy,... |

per | Simple function for computing DFT and periodogram (based on... |

periodogram_bp | Periodogram and DFT function: can handle more general cases... |

Q_reg_func | This function sets-up the regularization matrices |

reg_mat_func | This function calls the regularization settings (bilinear... |

spec_comp | Generic function for computing the multivariate DFT: assigns... |

spec_mat_comp | This function sets-up the spectral matrix for closed-form... |

structure_func | This function allows for additional structure in the... |

w_eight_func | This function specifies the constant in case of filter... |

white_noise_synchronicity | This function allows for particular parametrizations of DFT... |

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