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

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

Description

Simplified call for multivariate MSE/customization with regularization and constraints

Usage

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.