tscv.sglpath function

Sorts time series cross-validation output

Computes cvm and cvsd based on times series cross-validation fit.

tscv.sglpath(outlist, lambda, x, y, foldid, ...)

Arguments

• outlist: list of cross-validation fits.
• lambda: a sequence of $\lambda$ parameter.
• x: regressors
• y: response
• foldid: the fold assignment.
• ...: other arguments passed to predict.sgl

Returns

cvm and cvsd.