w_eight_func: This function specifies the constant in case of filter...

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

Description

This function specifies the constant in case of filter constraints with/without regularization

Usage

w_eight_func(i1, i2, Lag, weight_constraint, shift_constraint, L, weight_h_exp)

Arguments

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)
Lag	Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0)
weight_constraint	Constraint vector in the case i1==T
shift_constraint	Constraint vector in the case i2==T
L	Filter-length
weight_h_exp	DFT of explanatory variables

Value

w_eight Vector of filter weights entering closed-form solution

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