Dynamic Model Averaging with Grid Search
Backtest measures for Dynamic Model Averaging and comparison with Dyna...
class: Class for the DMA class
Perform Dynamic Model Averaging
Dynamic Model Averaging with Modifications
Lag a vector or a matrix of observations
Build the power set of the values {0,1,2,...,iK}.
Simulate from DLM of West and Harrison (1999).
Perform dynamic model averaging with grid search as in Dangl and Halling (2012) <doi:10.1016/j.jfineco.2012.04.003> using parallel computing.