Q_reg_func: This function sets-up the regularization matrices

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

Description

This function sets-up the regularization matrices

Usage

Q_reg_func(L, weight_h_exp, lambda_decay, lambda_smooth, lambda_cross, Lag,
  lag_mat, grand_mean, c_eta)

Arguments

L	Filter-length
weight_h_exp	DFT of explanatory variables
lambda_decay	Regularization: decay term
lambda_smooth	Regularization: smoothness term
lambda_cross	Regularization: cross-sectional term
Lag	Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0)
lag_mat	Matrix for implementing effective lags in a mixed-frequency setting
grand_mean	Boolean: if T then a grand-mean parametrization is imposed (default is F)
c_eta	Boolean: impose mild/strong smoothness customization (default is F)

Value

Q_smooth Smoothness term (matrix)

Q_decay Decay term (matrix)

Q_cross Cross-sectional term (matrix)

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