data_reduction: Dimension reduction via principal components

In OOS: Out-of-Sample Time Series Forecasting

Description

A function to estimate principal components.

Usage

data_reduction(Data, variables = NULL, ncomp, standardize = TRUE)

Arguments

Data	data.frame: data frame of target variable, exogenous variables, and observed date (named 'date')
variables	string: vector of variables to standardize, default is all but 'date' column
ncomp	int: number of factors to create
standardize	boolean: normalize variables (mean zero, variance one) before estimating factors

Value

data.frame with a date column and one column per forecast method selected

OOS documentation built on March 17, 2021, 5:08 p.m.