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Create sglfit function #4

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jstriaukas opened this issue Feb 12, 2022 · 4 comments

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jstriaukas commented Feb 12, 2022

Translate the sglfit function from R:

https://github.com/jstriaukas/midasml/blob/master/R/sglfit.R

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jstriaukas commented Feb 17, 2022

add corresponding: tscv.sglfit, cv.sglfit and ic.sglfit functions.

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jstriaukas commented Mar 28, 2022

fixed the Fortran link to Python - sglfitF.f90 can be compiled on several systems (tested on Linux and Windows 10).

Owner Author

jstriaukas commented Apr 11, 2022 •

edited

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added sglfit function at:
https://github.com/jstriaukas/midasmlpy/blob/master/midasmlpy/sglfit.py

also added a description of how to compile Fortran code and about the files which are precompiled.

jstriaukas self-assigned this

Owner Author

jstriaukas commented Apr 30, 2022

added tscv_sglfit function at:
https://github.com/jstriaukas/midasmlpy/blob/master/midasmlpy/tscv_sglfit.py

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