Description Usage Arguments Value
This function sets-up the data-based part of the design matrix, accounting for i1/i2 constraints (this is the effective design-matrix in the absence of regularization). It is originally written in grand-mean parametrization (which makes it more tedious). Singularities in the case i1=F, i2=T are avoided by ‘displacing’ the constraints by a small number.
1 | des_mat_func(i2, i1, L, weight_h_exp, weight_constraint, shift_constraint, Lag)
|
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) |
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) |
L |
Filter-length |
weight_h_exp |
DFT of explanatory variables |
weight_constraint |
Constraint vector in the case i1==T |
shift_constraint |
Constraint vector in the case i2==T |
Lag |
Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0) |
des_mat Data-based design matrix
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