internal AICc function for lasso models
Internal function for obtaining oos results
Internal function for converting time series into model matrix of lags
Usage
AICc(fit, eps = 1)
get_oos_results(fits, ytest, Xtest)
get_model_matrix(y, X = NULL, n_lags_max)
Arguments
- fit
an object with logLik method,
- eps
minimum df used in computation
- fits
a list of fits with different tuning parameters
- ytest
validation data
- Xtest
new X data, including lags
- y
time series vector
- X
Additional exogenous features
- n_lags_max
Maximum number of lags to add