lcauchyp function

Normalized log-Cauchy probability density function MIDAS weights specification

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

lcauchyp(p, d, m)

Arguments

• p: parameters for normalized log-Cauchy probability density function
• d: number of coefficients
• m: the frequency ratio, currently ignored

Returns

vector of coefficients

Author(s)

Julius Vainora