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

Description Usage Arguments Value

Description

Simplified call for multivariate MSE/customization with regularization and constraints

Usage

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MDFA_reg_constraint(L, weight_func, Lag, Gamma, cutoff, lambda, eta,
  lambda_cross, lambda_decay, lambda_smooth, i1, i2, weight_constraint,
  shift_constraint)

Arguments

L

Filter-length

weight_func

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

cutoff

Specifies start-frequency in stopband from which Smoothness is emphasized (corresponds typically to the cutoff of the lowpass target). Is not used if eta=0.

lambda

Customization parameter: Timeliness is emphasized in the ATS-trilemma if lambda>0

eta

Customization parameter: Smoothness is emphasized in the ATS-trilemma if eta>0

lambda_cross

Regularization: cross-sectional term

lambda_decay

Regularization: decay term

lambda_smooth

Regularization: smoothness term

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)

Value

mdfa_obj MDFA object


wiaidp/MDFA documentation built on June 26, 2019, 1:07 p.m.