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

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

Description

This function decomposes the MSE-criterion into Accuracy, Smoothness and Timeliness components

Usage

MS_decomp_total(Gamma, trffkt, weight_func, cutoff, Lag)

Arguments

Gamma	Generic target specification: typically symmetric Lowpass (trend) or Bandpass (cycle) filters. Highpass and anticipative allpass (forecast) can be specified too
trffkt	Complex transfer function of optimal multivariate filter
weight_func	DFT-matrix
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.
Lag	Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0)

Value

Accuracy Accuracy term in decomposition of MSE

Smoothness Smoothness term in decomposition of MSE

Timeliness Timeliness term in decomposition of MSE

MS_error Sample estimate of MSE: consistent estimate in the cases lambda>0 and/or eta>0

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