Jonas Striaukas

Orthogonal polynomials

5

Create a function that computes Legendre & Gegenbauer polynomials. Examples: https://github.com/jstriaukas/midasml/blob/master/R/midas.polynomials.R

Create sglfit function

4

Translate the sglfit function from R: https://github.com/jstriaukas/midasml/blob/master/R/sglfit.R

Standard MIDAS regressions

2

Translating standard MIDAS regressions (optimization based on analytical gradients) from R: https://github.com/jstriaukas/midasml/blob/master/R/midas.solvers.R function: optim_ardl_beta

MIDAS data

3

Create functions that compute MIDAS data lags based on times data inputs (times series + a vector of dates for that particular times series) Example: https://github.com/jstriaukas/midasml/blob/master/R/date.functions.R