.recursiveforecast

This function is not meant to be directly called by the user
and is only a helper function

internal

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Ines Wilms

bigtime

Sparse Estimation of Large Time Series Models

David S. Matteson

Jacob Bien

Sumanta Basu

Will Nicholson

Enrico Wegner

.recursiveforecast function

<dl><dt>Y</dt>
<dd>Data matrix</dd>
<dt>Phi_hat</dt>
<dd>Coefficient matrix</dd>
<dt>phi_0</dt>
<dd>Constant terms</dd>
<dt>h</dt>
<dd>Forecast horizon</dd></dl>

Arguments

Recursively forecast a VAR — .recursiveforecast

<dl>

<dt>Y</dt>
<dd>Data matrix</dd>


<dt>Phi_hat</dt>
<dd>Coefficient matrix</dd>


<dt>phi_0</dt>
<dd>Constant terms</dd>


<dt>h</dt>
<dd>Forecast horizon</dd>

</dl>

.recursiveforecast: Recursively forecast a VAR

Description

Usage

Value

Arguments