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#+TITLE: T3PRF - Three Pass Regression Filter for R | ||
#+TITLE: T3PRF: Three Pass Regression Filter for R | ||
#+AUTHOR: Mohamed Ishmael Diwan Belghazi | ||
#+EMAIL: [email protected] | ||
* Status | ||
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Kelly, Bryan T. and Pruitt, Seth, The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (May 2014). Fama-Miller Working Paper; Chicago Booth Research Paper No. 11-19. Available at SSRN: http://ssrn.com/abstract=1868703 or http://dx.doi.org/10.2139/ssrn.1868703 | ||
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* TODOS | ||
**** TODO Complete Documentation | ||
**** TODO Add examples | ||
**** TODO Add vignette | ||
**** TODO Improve testing | ||
**** TODO Improve handling of missing values | ||
**** TODO Move from RcppEigen to native .Call with LAPACK | ||
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