Simplex | R Documentation |

`Simplex`

performs time series forecasting based on
weighted nearest neighbors projection in the time series phase space as
described in Sugihara and May.

Simplex(pathIn = "./", dataFile = "", dataFrame = NULL, pathOut = "./", predictFile = "", lib = "", pred = "", E = 0, Tp = 1, knn = 0, tau = -1, exclusionRadius = 0, columns = "", target = "", embedded = FALSE, const_pred = FALSE, verbose = FALSE, validLib = vector(), generateSteps = 0, parameterList = FALSE, showPlot = FALSE)

`pathIn` |
path to |

`dataFile` |
.csv format data file name. The first column must be a time index or time values. The first row must be column names. |

`dataFrame` |
input data.frame. The first column must be a time index or time values. The columns must be named. |

`pathOut` |
path for |

`predictFile` |
output file name. |

`lib` |
string with start and stop indices of input data rows used to create the library of observations. A single contiguous range is supported. |

`pred` |
string with start and stop indices of input data rows used for predictions. A single contiguous range is supported. |

`E` |
embedding dimension. |

`Tp` |
prediction horizon (number of time column rows). |

`knn` |
number of nearest neighbors. If knn=0, knn is set to E+1. |

`tau` |
lag of time delay embedding specified as number of time column rows. |

`exclusionRadius` |
excludes vectors from the search space of nearest neighbors if their relative time index is within exclusionRadius. |

`columns` |
string of whitespace separated column name(s) in the input data used to create the library. |

`target` |
column name in the input data used for prediction. |

`embedded` |
logical specifying if the input data are embedded. |

`verbose` |
logical to produce additional console reporting. |

`const_pred` |
logical to add a |

`validLib` |
logical vector the same length as the number of data rows. Any data row represented in this vector as FALSE, will not be included in the library. |

`generateSteps` |
number of predictive feedback generative steps. |

`parameterList` |
logical to add list of invoked parameters. |

`showPlot` |
logical to plot results. |

If embedded is `FALSE`

, the data `column(s)`

are embedded to
dimension `E`

with time lag `tau`

. This embedding forms an
E-dimensional phase space for the `Simplex`

projection.
If embedded is `TRUE`

, the data are assumed to contain an
E-dimensional embedding with E equal to the number of `columns`

.
Predictions are made using leave-one-out cross-validation, i.e.
observation vectors are excluded from the prediction simplex.

To assess an optimal embedding dimension `EmbedDimension`

can be applied. Accuracy statistics can be estimated by
`ComputeError`

.

A data.frame with columns `Observations, Predictions`

. If
`const_pred`

is TRUE the column `Const_Predictions`

is added.
The first column contains the time values.

If `parameterList = TRUE`

, a named list with "predictions" holding the
data.frame, "parameters" with a named list of invoked parameters.

Sugihara G. and May R. 1990. Nonlinear forecasting as a way of distinguishing chaos from measurement error in time series. Nature, 344:734-741.

data( block_3sp ) smplx <- Simplex( dataFrame = block_3sp, lib = "1 100", pred = "101 190", E = 3, columns = "x_t", target = "x_t" ) ComputeError( smplx $ Predictions, smplx $ Observations )

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