estimate_initial_coefs: Estimate consistent first-stage coefficients

In zackfisher/multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Estimate consistent first-stage coefficients

Description

'estimate_initial_coefs' returns consistent first-stage estimates to be used for calculating adaptive weights used in regularization.

Usage

estimate_initial_coefs(
  Ak,
  bk,
  d,
  k,
  lassotype,
  weightest,
  subgroup_membership,
  subgroup,
  nlambda1,
  nlambda2,
  tvp,
  breaks
)

Details

This function returns a list containing the following elements: * common_effects: a d x d matrix containing consistent esimtates of the common effects * subgroup_effects: a list of length max(subgroup), where each element is a d x d matrix containing consistent esimtates of the subgroup effects * unique_effects: a list of length k, where each element is a d x d matrix containing consistent esimtates of the unique effects * total_effects: a list of length k, where each element is a d x d matrix containing consistent esimtates of the total effects

#' @export

zackfisher/multivar documentation built on Sept. 25, 2024, 3:16 a.m.