series_to_mvgam: This function converts univariate or multivariate time series...

In mvgam: Multivariate (Dynamic) Generalized Additive Models

This function converts univariate or multivariate time series (xts or ts objects) to the format necessary for mvgam

Description

This function converts univariate or multivariate time series (xts or ts objects) to the format necessary for mvgam

Usage

series_to_mvgam(series, freq, train_prop = 0.85)

Arguments

series	xts or ts object to be converted to mvgam format
freq	integer. The seasonal frequency of the series
train_prop	numeric stating the proportion of data to use for training. Should be between 0.25 and 0.95

Value

A list object containing outputs needed for mvgam, including 'data_train' and 'data_test'

Examples

# A ts object example
data("sunspots")
series <- cbind(sunspots, sunspots)
colnames(series) <- c('blood', 'bone')
head(series)
series_to_mvgam(series, frequency(series), 0.85)

# An xts object example
library(xts)
dates <- seq(as.Date("2001-05-01"), length=30, by="quarter")
data  <- cbind(c(gas = rpois(30, cumprod(1+rnorm(30, mean = 0.01, sd = 0.001)))),
c(oil = rpois(30, cumprod(1+rnorm(30, mean = 0.01, sd = 0.001)))))
series <- xts(x = data, order.by = dates)
colnames(series) <- c('gas', 'oil')
head(series)
series_to_mvgam(series, freq = 4, train_prop = 0.85)

mvgam documentation built on Sept. 11, 2024, 8:55 p.m.