lcauchyp

Calculate MIDAS weights according to normalized log-Cauchy probability density function specification

Methods and tools for mixed frequency time series data analysis.
Allows estimation, model selection and forecasting for MIDAS regressions.

Vaidotas Zemlys

midasr

Mixed Data Sampling Regression

Vaidotas Zemlys-Balevičius

Virmantas Kvedaras

lcauchyp function

<dl><dt>p</dt>
<dd>parameters for normalized log-Cauchy probability density function</dd>
<dt>d</dt>
<dd>number of coefficients</dd>
<dt>m</dt>
<dd>the frequency ratio, currently ignored</dd></dl>

Arguments

Author

Normalized log-Cauchy probability density function MIDAS weights specification — lcauchyp

<dl>

<dt>p</dt>
<dd>parameters for normalized log-Cauchy probability density function</dd>


<dt>d</dt>
<dd>number of coefficients</dd>


<dt>m</dt>
<dd>the frequency ratio, currently ignored</dd>

</dl>

lcauchyp: Normalized log-Cauchy probability density function MIDAS weights specification

Description

Usage

Value

Arguments

Author