cvlm: Check linear models with cross validation

In NTS: Nonlinear Time Series Analysis

Check linear models with cross validation

Description

The function checks linear models with cross-validation (out-of-sample prediction).

Usage

cvlm(y, x, subsize, iter = 100)

Arguments

y	dependent variable.
x	design matrix (should include constant if it is needed).
subsize	sample size of subsampling.
iter	number of iterations.

Value

The function returns a list with following components.

rmse	root mean squares of forecast errors for all iterations.
mae	mean absolute forecast errors for all iterations.

References

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

NTS documentation built on Sept. 25, 2023, 1:08 a.m.