reg_mat_func: This function calls the regularization settings (bilinear...

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

Description

This function calls the regularization settings (bilinear forms) for cross-correlation, smoothness and decay patterns

Usage

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

Arguments

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

Value

Q_smooth Smoothness term (matrix)

Q_cross Cross-sectional term (matrix)

Q_decay Decay term (matrix)

lambda_decay Re-parameterized decay-weight

lambda_smooth Re-parameterized smoothness-weight

lambda_cross Re-parameterized cross-sectional-weight

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