Package: eDMA 1.5-3
Leopoldo Catania
eDMA: Dynamic Model Averaging with Grid Search
Perform dynamic model averaging with grid search as in Dangl and Halling (2012) <doi:10.1016/j.jfineco.2012.04.003> using parallel computing.
Authors:
eDMA_1.5-3.tar.gz
eDMA_1.5-3.tar.gz(r-4.5-noble)eDMA_1.5-3.tar.gz(r-4.4-noble)
eDMA_1.5-3.tgz(r-4.4-emscripten)eDMA_1.5-3.tgz(r-4.3-emscripten)
eDMA.pdf |eDMA.html✨
eDMA/json (API)
| # Install 'eDMA' in R: |
| install.packages('eDMA', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Uses libs:
Datasets:
- SimData - Data: Simulated data from DLM of West and Harrison (1999).
- USData - Data: Quarterly US inflation and associated predictors
- USRecessions - Data: Dates of U.S. recessions as inferred by GDP-based recession indicator (JHDUSRGDPBR).
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 years agofrom:293d302957. Checks:OK: 1 NOTE: 1. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 23 2024 |
| R-4.5-linux-x86_64 | NOTE | Oct 23 2024 |
Exports:as.data.frameBacktestDMAcoefDMAgetLastForecastinclusion.probLagplotPowerSetpred.likeresidualsshowSimulateDLMsummary
Dependencies:latticeRcppRcppArmadilloxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Dynamic Model Averaging with Modifications | eDMA-package eDMA |
| Backtest measures for Dynamic Model Averaging and comparison with Dynamic Model Selection | BacktestDMA |
| Perform Dynamic Model Averaging | DMA |
| class: Class for the DMA class | as.data.frame,DMA-method coef,DMA-method DMA-class getLastForecast getLastForecast,DMA-method inclusion.prob inclusion.prob,DMA-method plot,DMA,missing-method pred.like pred.like,DMA-method residuals,DMA-method show,DMA-method summary,DMA-method |
| Lag a vector or a matrix of observations | Lag |
| Build the power set of the values {0,1,2,...,'iK'}. | PowerSet |
| data: Simulated data from DLM of West and Harrison (1999). | SimData |
| Simulate from DLM of West and Harrison (1999). | SimulateDLM |
| data: Quarterly US inflation and associated predictors | USData |
| data: Dates of U.S. recessions as inferred by GDP-based recession indicator (JHDUSRGDPBR). | USRecessions |