midasml (version 0.0.6)

midas_pr: Computes fast DL-MIDAS profiling solution

Description

Computes fast DL-MIDAS profiling solution

Usage

midas_pr(Y, X, intercept, tau, which_loss, num_evals)

Arguments

Y

(vec) vector of response.

X

(mat) matrix of covariates.

intercept

(double) 1 - includes intercept, else not.

tau

(double) quantile level.

which_loss

loss function choice. 1 - mse, 2 - als, 3 - rq.

num_evals

number of evalution points of MIDAS parameter.