NNsetting: Setting Up The Predictor Matrix in A Neural Network for Time...

Description Usage Arguments Value References

Description

The function sets up the predictor matrix in a neural network for time series data.

Usage

1
NNsetting(zt, locY = 1, nfore = 0, lags = c(1:5), include.lagY = TRUE)

Arguments

zt

data matrix, including the dependent variable Y(t).

locY

location of the dependent variable (column number).

nfore

number of out-of-sample prediction (1-step ahead).

lags

a vector containing the lagged variables used to form the x-matrix.

include.lagY

indicator for including lagged Y(t) in the predictor matrix.

Value

The function returns a list with following components.

X

x-matrix for training a neural network.

y

y-output for training a neural network.

predX

x-matrix for the prediction subsample.

predY

y-output for the prediction subsample.

References

Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.


NTS documentation built on Aug. 6, 2020, 5:08 p.m.

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