mBTS: modified Back-in-time Selection for vector AR parameters...

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

modified Back-in-time Selection for vector AR parameters estimation

Description

modified Back-in-time Selection for vector AR parameters estimation

Usage

mBTS(xM, responseindex, pmax)

Arguments

xM	the matrix of K time series (variables in columns)
responseindex	the index of the response variable in \{1,\ldots,K\}
pmax	maximum order(lag) of the VAR model to be considered

Value

the matrix of all explanatory lagged variables in the DR model. The sequence of the lagged variables in 'lagM'

See Also

I. Vlachos and D. Kugiumtzis, "Backward-in-time selection of the order of dynamic regression prediction model," J. Forecast., vol. 32, pp. 685-701, 2013.

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.