Description Usage Arguments Value
Simplified call for multivariate MSE estimation with filter constraints: no regularization, no customization
1 2 | MDFA_mse_constraint(L, weight_func, Lag, Gamma, i1, i2, weight_constraint,
shift_constraint)
|
L |
Filter-length |
weight_func |
Spectrum: DFT-matrix or alternative (for example model-based) estimate: first column is the target variable, additional columns are explanatory variables |
Lag |
Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0) |
Gamma |
Generic target specification: typically symmetric Lowpass (trend) or Bandpass (cycle) filters. Highpass and anticipative allpass (forecast) can be specified too |
i1 |
Boolean. If T a first-order filter constraint in frequency zero is obtained: amplitude of real-time filter must match weight_constraint (handles integration order one) |
i2 |
Boolean. If T a second-order filter constraint in frequency zero is obtained: time-shift of real-time filter must match target (together with i1 handles integration order two) |
weight_constraint |
Vector of amplitude constraints in frequency zero (typically 1 for lowpass and zero for bandpass or highpass) |
shift_constraint |
Vector of time-shift constraints in frequency zero (typically zero for lowpass) |
mdfa_obj MDFA object
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