mode_midasml

data

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.

Jonas Striaukas

mode_midasml: Compute mode of a vector

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