xregTransformer: Exogenous variables transformer

In greybox: Toolbox for Model Building and Forecasting

Exogenous variables transformer

Description

Function transforms each variable in the provided matrix or vector, producing non-linear values, depending on the selected pool of functions.

Usage

xregTransformer(xreg, functions = c("log", "exp", "inv", "sqrt", "square"),
  silent = TRUE)

Arguments

xreg	Vector / matrix / data.frame, containing variables that need to be expanded. In case of vector / matrix it is recommended to provide ts object, so the frequency of the data is taken into account.
functions	Vector of names for functions used.
silent	If silent=FALSE, then the progress is printed out. Otherwise the function won't print anything in the console.

Details

This function could be useful when you want to automatically select the necessary transformations of the variables. This can be used together with xregDo="select" in es, ces, gum and ssarima. However, this might be dangerous, as it might lead to the overfitting the data. So be reasonable when you produce the transformed variables.

Value

ts matrix with the transformed and the original variables is returned.

Author(s)

Ivan Svetunkov, [e-mail]

See Also

es, stepwise, xregExpander

Examples

# Create matrix of two variables and expand it
x <- cbind(rnorm(100,100,1),rnorm(100,50,3))
xregTransformer(x)

greybox documentation built on Sept. 16, 2023, 9:07 a.m.