csr.bic: Elliott, Gargano and Timmermann (2013) COMPLETE SUBSET...
In zhan-gao/LasForecast: Time series linear predictive regression
csr.bic R Documentation
Elliott, Gargano and Timmermann (2013) COMPLETE SUBSET REGRESSIONS with BIC
Description
Choose tuning parameter k by Bayesian Information Criterion (BIC)
Usage
csr.bic(y, X, C.upper = 5000, intercept = FALSE, RW = TRUE)
Arguments
y
response variable
X
Predictor matrix
C.upper
maximum number of subsets to be combined
intercept
A boolean: include an intercept term or not
Value
A List contained the estimated coefficients and forecasts
k.hat
k chosen by BIC
coef
Averaged coefficients corresonding to the chosen k
zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.
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| csr.bic | R Documentation |
Elliott, Gargano and Timmermann (2013) COMPLETE SUBSET REGRESSIONS with BIC
Description
Choose tuning parameter k by Bayesian Information Criterion (BIC)
Usage
csr.bic(y, X, C.upper = 5000, intercept = FALSE, RW = TRUE)
Arguments
y |
response variable |
X |
Predictor matrix |
C.upper |
maximum number of subsets to be combined |
intercept |
A boolean: include an intercept term or not |
Value
A List contained the estimated coefficients and forecasts
k.hat |
k chosen by BIC |
coef |
Averaged coefficients corresonding to the chosen k |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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