select_by_shrinkage

Variable selection method using shrinkage factors (kappa).
Note: This method may underselect when tau collapses to small values.
Consider using <code>select_by_credible_interval</code> as an alternative.

Provides a comprehensive toolkit for extracting latent signals from
panel data through multivariate time series analysis. Implements spectral
decomposition methods including wavelet multiresolution analysis via maximal
overlap discrete wavelet transform, Percival and Walden (2000)
<doi:10.1017/CBO9780511841040>, empirical mode decomposition for
non-stationary signals, Huang et al. (1998) <doi:10.1098/rspa.1998.0193>,
and Bayesian trend extraction via the Grant-Chan embedded Hodrick-Prescott
filter, Grant and Chan (2017) <doi:10.1016/j.jedc.2016.12.007>. Features
Bayesian variable selection through regularized Horseshoe priors, Piironen
and Vehtari (2017) <doi:10.1214/17-EJS1337SI>, for identifying structurally
relevant predictors from high-dimensional candidate sets. Includes dynamic
factor model estimation, principal component analysis with bootstrap
significance testing, and automated technical interpretation of signal
morphology and variance topology.

José Mauricio Gómez Julián

SignalY

Signal Extraction from Panel Data via Bayesian Sparse Regression
and Spectral Decomposition

Jose Mauricio Gomez Julian

select_by_shrinkage function

<dl><dt>hs_fit</dt>
<dd>Object returned by <code>fit_horseshoe</code>.</dd>
<dt>threshold</dt>
<dd>Kappa threshold. Variables with kappa &lt; threshold are
considered relevant. Default 0.5.</dd>
<dt>verbose</dt>
<dd>Logical for messages.</dd></dl>

Arguments

Select Variables Based on Shrinkage — select_by_shrinkage

<dl>

<dt>hs_fit</dt>
<dd>Object returned by <code>fit_horseshoe</code>.</dd>


<dt>threshold</dt>
<dd>Kappa threshold. Variables with kappa &lt; threshold are
considered relevant. Default 0.5.</dd>


<dt>verbose</dt>
<dd>Logical for messages.</dd>

</dl>

select_by_shrinkage: Select Variables Based on Shrinkage

Description

Usage

Value

Arguments

See Also