als_loss

param

non-linear weight function specification.

weight

currently ignored optional parameters.

For a set of parameter in <code>param</code> vector, data inputs y, x and z, and weight function specification, computes the mse loss.

internal

The 'midasml' estimation and prediction methods for high dimensional time series regression models under mixed data sampling data structures using structured-sparsity penalties and orthogonal polynomials. For more information on the 'midasml' approach see Babii, Ghysels, and Striaukas (2021, JBES forthcoming) <doi:10.1080/07350015.2021.1899933>. Functions that compute MIDAS data structures were inspired by MIDAS 'Matlab' toolbox (v2.3) written by Eric Ghysels.

als_loss: Asymmetric least squares loss for ARDL-MIDAS or DL-MIDAS regression

Description

Usage

Arguments

Value