View source: R/tv_sentiment_index.R
tv_sentiment_index | R Documentation |
tv sentiment index function
tv_sentiment_index(x, w, y, alpha, lambda, newx, family, k)
x |
A matrix of variables to be selected by shrinkrage methods. |
w |
Optional Argument. A matrix of variables to be selected by shrinkrage methods. |
y |
the response variable. |
alpha |
the alpha required in glmnet. |
lambda |
the lambda required in glmnet. |
newx |
Matrix that selection will be applied. Useful for time series, when we need the observation at time t. |
family |
the glmnet family. |
k |
the highest positive and negative coefficients to be used. |
The time-varying sentiment index. The index is based on the word/term counting and is computed using: tv_index=(pos-neg)/(pos+neg).
suppressWarnings(RNGversion("3.5.0")) set.seed(1) data("stock_data") data("news_data") y=as.matrix(stock_data[,2]) w=as.matrix(stock_data[,3]) data("news_data") X=news_data[,2:ncol(news_data)] x=as.matrix(X) grid_alphas=0.05 cont_folds=TRUE t=length(y) optimal_alphas=optimal_alphas(x[1:(t-1),],w[1:(t-1),], y[2:t],grid_alphas,TRUE,"gaussian") tv_index <- tv_sentiment_index(x[1:(t-1),],w[1:(t-1),],y[2:t], optimal_alphas[[1]],optimal_alphas[[2]],x,"gaussian",2)
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