ivx_fit {ivx}

Fitter Functions for IVX Models

Description

Basic function called by ivx to fit predictive models. These should only be used directly by experienced users.

Usage

ivx_fit(y, x, horizon = 1, offset = NULL, ...)

ivx_wfit(y, x, w, horizon = 1, offset = NULL, ...)

Arguments

y

vector of observations of length n, or a matrix with n rows.

x

design matrix of dimension n * p.

horizon

is the horizon (default horizon = 1 corresponds to a short-horizon regression).

offset

(numeric of length n). This can be used to specify an a priori known component to be included in the linear predictor during fitting.

...

currently disregarded.

w

vector of weights (length n) to be used in the fitting process for the wfit functions. Weighted least squares is used with weights w, i.e., sum(w * e^2) is minimized.

Examples

ivx_fit(monthly$Ret, as.matrix(monthly$LTY))